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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

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 …

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

Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model

Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813

Persistent link: https://www.econbiz.de/10014452471

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

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …

Persistent link: https://www.econbiz.de/10012293125

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 investment : bounds and heuristics

Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011442629

Portfolio optimization in DC pension scheme with unhedgeable stochastic wage

Menoncin, Francesco; Vigna, Elena - 2025

Persistent link: https://www.econbiz.de/10015436802

Dynamic behaviour of optimal portfolio with stochastic volatility

Zhang, Yongmin; Zhao, Yingxue - In: Economic research 34 (2021) 1,1, pp. 352-367

Persistent link: https://www.econbiz.de/10013341632