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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and stochastics 17 (2013) 4, pp. 839-870
Persistent link: https://www.econbiz.de/10010190872
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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. By applying a backward stochastic differential equation...
Persistent link: https://www.econbiz.de/10012508614
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The SEV-SV model : applications in portfolio optimization
Escobar, Marcos; Fan, Weili - In: Risks : open access journal 11 (2023) 2, pp. 1-34
within expected utility theory (EUT) for incomplete markets, producing closed-form representations for the optimal strategy …
Persistent link: https://www.econbiz.de/10014234313
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A paradox in time-consistency in the mean-variance problem?
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip - In: Finance and stochastics 23 (2019) 1, pp. 173-207
Persistent link: https://www.econbiz.de/10012023708
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Mean field portfolio games
Fu, Guanxing; Zhou, Chao - In: Finance and stochastics 27 (2023) 1, pp. 189-231
Persistent link: https://www.econbiz.de/10013489591
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Asymptotic arbitrage and numéraire portfolios in large financial markets
Rochlin, Dmitri B. - In: Finance and stochastics 12 (2008) 2, pp. 173-194
Persistent link: https://www.econbiz.de/10003716254
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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The numéraire portfolio in semimartingale financial models
Karatzas, Ioannis; Kardaras, Constantinos - In: Finance and stochastics 11 (2007) 4, pp. 447-493
Persistent link: https://www.econbiz.de/10003645513
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Pricing and hedging European options with discrete-time coherent risk
Cherny, Alexander S. - In: Finance and stochastics 11 (2007) 4, pp. 537-569
Persistent link: https://www.econbiz.de/10003645530
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Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald; Touzi, Nizar - In: Finance and stochastics 12 (2008) 3, pp. 299-330
Persistent link: https://www.econbiz.de/10003899189