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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 …

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

Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model

Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844

Persistent link: https://www.econbiz.de/10014391968

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Stochastic control for asset management

Kung, James J.; Wong, Wing Keung; Wu, E.-ching - In: Journal of mathematical finance 3 (2013) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10010240225

Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility

Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724

Persistent link: https://www.econbiz.de/10012321867

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

Dynamic mean-variance optimization problems with deterministic information

Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-38

Persistent link: https://www.econbiz.de/10011854586

Optimal portfolios with stochastic interest rates and defaultable assets

Kraft, Holger - 2004

Persistent link: https://www.econbiz.de/10002018962

Optimal switching decisions under stochastic volatility with fast mean reversion

Tsekrekos, Andrianos E.; Yannacopoulos, Athanasios N. - In: European journal of operational research : EJOR 251 (2016) 1, pp. 148-157

Persistent link: https://www.econbiz.de/10011446242