NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE

DOI10.1111/J.1467-9965.2006.00282.XMaRDI QIDQ5455262zbMATH OpenOpenAlexFDO

Authors Carl Lindberg

Publication date 3 April 2008

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2006.00282.x

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Recommendations

• Portfolio optimization and a factor model in a stochastic volatility market
• Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
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• Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
• Portfolio optimization with non-constant volatility and partial information

Cites work

• scientific article; zbMATH DE number 1502618 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A complete explicit solution to the log-optimal portfolio problem.
• A solution approach to valuation with unhedgeable risks
• An optimal consumption model with stochastic volatility
• Hyperbolic distributions in finance
• Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
• Optimal portfolios when stock prices follow an exponential Lévy process
• Optimum consumption and portfolio rules in a continuous-time model
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
• Portfolio optimization with unobservable Markov-modulated drift process
• Processes of normal inverse Gaussian type

Cited in

(7)

• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
• Portfolio optimization and a factor model in a stochastic volatility market
• Utility maximization in models with conditionally independent increments
• Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
• Mean-variance portfolio selection based on a generalized BNS stochastic volatility model
• The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity
• Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients

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