Portfolio optimization and stochastic volatility asymptotics
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Publication:5283401
DOI10.1111/MAFI.12109zbMATH Open1377.91148OpenAlexW3121177045MaRDI QIDQ5283401FDOQ5283401
Jean-Pierre Fouque, Thaleia Zariphopoulou, Ronnie Sircar
Publication date: 21 July 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12109
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Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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Cited In (64)
- Partial hedging in rough volatility models
- Transition density function expansion methods for portfolio optimization
- Mean-variance portfolio with wealth and volatility dependent risk aversion
- Utility Maximization in Multivariate Volterra Models
- Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
- Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- BSDE approach to utility maximization with square-root factor processes
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- Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions
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- Parameter identification for portfolio optimization with a slow stochastic factor
- Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment
- Power Mixture Forward Performance Processes
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
- Portfolio optimization
- G-expected utility maximization with ambiguous equicorrelation
- An Explicit Solution for Optimal Investment in Heston Model
- Approximation for portfolio optimization in a financial market with shot-noise jumps
- Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio
- Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion
- Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
- Optimal Retirement Under Partial Information
- Portfolio optimization and a factor model in a stochastic volatility market
- Stability of Merton's portfolio optimization problem for Lévy models
- Trading Foreign Exchange Triplets
- Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
- Portfolio Optimization with Stochastic Volatilities: A Backward Approach
- A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
- Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon
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- Stochastic Partial Differential Equations and Portfolio Choice
- An efficient numerical method for the robust optimal investment problem with general utility functions
- Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model
- Portfolio optimization with ambiguous correlation and stochastic volatilities
- Risk-Sensitive Asset Management and Cascading Defaults
- Asymptotic Approximation of Optimal Portfolio for Small Time Horizons
- Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
- Resolution of Degeneracy in Merton's Portfolio Problem
- Optimal Trading with Signals and Stochastic Price Impact
- Time-Inconsistent Portfolio Investment Problems
- Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- HARA frontiers of optimal portfolios in stochastic markets
- Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
- A general optimization framework for the annuity contracts with multiscale stochastic volatility
- A stochastic volatility model and optimal portfolio selection
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- Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
- Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
- Optimal Hedging Under Fast-Varying Stochastic Volatility
- Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
- Portfolio Choice with Market--Credit-Risk Dependencies
- Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment
- Optimal Switching between Locking Down and Opening the Economy Because of an Infection
- Optimal investment with correlated stochastic volatility factors
- Portfolio optimization for assets with stochastic yields and stochastic volatility
- Exponentially concave functions and high dimensional stochastic portfolio theory
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Hedging Under an Expected Loss Constraint with Small Transaction Costs
- Portfolio Optimization in Fractional and Rough Heston Models
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