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Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications

Chiarella, Carl - 2010

This paper studies the impact of stochastic volatility (SV) on optimal investment decisions. We consider three different SV models: an extended Stein/Stein model, the Heston Model and an extended Heston Model with a constant elasticity variance (CEV) process and derive the long-term optimal...

Persistent link: https://www.econbiz.de/10013136824

Optimal investment strategies under stochastic volatility : estimation and applications

Chiarella, Carl; Hsiao, Chih-ying - 2010

Persistent link: https://www.econbiz.de/10008663099

Portfolio optimization for a large investor under partial information and price impact

Eksi, Zehra; Ku, Hyejin - In: Mathematical methods of operations research 86 (2017) 3, pp. 601-623

Persistent link: https://www.econbiz.de/10011793402

Pairs trading under drift uncertainty and risk penalization

Altay, Sühan; Colaneri, Katia; Eksi-Altay, Zehra - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-24

Persistent link: https://www.econbiz.de/10011956923

Welfare effects of information and rationality in portfolio decisions under parameter uncertainty

Longo, M.; Mainini, A. - In: Quantitative finance 18 (2018) 12, pp. 2035-2050

Persistent link: https://www.econbiz.de/10012262961

Pricing of margrabe options for large investors with application to asset-liability management in life insurance

Bølviken, Erik; Proske, Frank; Rubtsov, Mark - In: Journal of mathematical finance 4 (2014) 2, pp. 113-122

Persistent link: https://www.econbiz.de/10010380906

A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …

Persistent link: https://www.econbiz.de/10013363078

The possibilities and consequences of investment decisions by stepwise optimization

Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087

Persistent link: https://www.econbiz.de/10014374968

Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes

Endres, Sylvia; Stübinger, Johannes - In: Applied economics 51 (2019) 29, pp. 3153-3169

Persistent link: https://www.econbiz.de/10012196804

Risk-neutral momentum and market fear

Schadner, Wolfgang - 2019

Persistent link: https://www.econbiz.de/10012133935