Search Results - subject:"Dynamic optimality" - EconBiz

Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

Zhang, Yumo - In: Risks 9 (2021) 4, pp. 1-21

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation...

Persistent link: https://www.econbiz.de/10013200730

Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

Zhang, Yumo - In: Risks : open access journal 9 (2021) 4, pp. 1-21

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation...

Persistent link: https://www.econbiz.de/10012508614

Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate

Zhang, Yumo - In: Annals of finance 18 (2022) 4, pp. 511-544

Persistent link: https://www.econbiz.de/10013489465

Optimal mean-variance portfolio selection with no-short-selling constraint

Xu, Jingsi - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-25

Persistent link: https://www.econbiz.de/10012496930

Optimal mean-variance portfolio selection

Pedersen, Jesper Lund; Peskir, Goran - In: Mathematics and financial economics 11 (2017) 2, pp. 137-160

Persistent link: https://www.econbiz.de/10011900522

Optimal mean-variance selling strategies

Pedersen, J. L.; Peskir, Goran - In: Mathematics and financial economics 10 (2016) 2, pp. 203-220

Persistent link: https://www.econbiz.de/10011485912

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