Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Year of publication: |
2022
|
---|---|
Authors: | Zhang, Yumo |
Published in: |
Annals of finance. - Heidelberg : Springer, ISSN 1614-2454, ZDB-ID 2172262-6. - Vol. 18.2022, 4, p. 511-544
|
Subject: | Backward stochastic differential equation | CIR process | Dynamic optimality | Mean-variance portfolio selection | Vasicek interest rate | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Experiment | Volatilität | Volatility | Zinsstruktur | Yield curve | Analysis | Mathematical analysis |
-
Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility
Zhang, Yumo, (2021)
-
Effect of variance swap in hedging volatility risk
Shen, Yang, (2020)
-
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang, (2018)
- More ...
-
Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility
Zhang, Yumo, (2021)
-
Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility
Zhang, Yumo, (2021)
-
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
Wang, Ning, (2023)
- More ...