Portfolio optimization and stochastic volatility asymptotics

DOI10.1111/MAFI.12109MaRDI QIDQ5283401zbMATH OpenOpenAlexFDO

Authors Jean-Pierre Fouque, Ronnie Sircar, Thaleia Zariphopoulou

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

zbMATH Keywords

asymptotic analysisportfolio optimizationstochastic volatility

Mathematics Subject Classification ID

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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Cites work

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• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
• Portfolio choice under space-time monotone performance criteria

Cited in

(68)

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• Optimal trading with signals and stochastic price impact
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• Parameter identification for portfolio optimization with a slow stochastic factor
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• Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
• Partial hedging in rough volatility models
• Transition density function expansion methods for portfolio optimization
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• Portfolio optimization and a factor model in a stochastic volatility market
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