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Merton's portfolio problem under Volterra Heston model
Han, Bingyan; Wong, Hoi Ying - In: Finance research letters 39 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012805194
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On the stochastic dominance of portfolio insurance strategies
Maalej, Hela; Prigent, Jean-Luc - In: Journal of mathematical finance 6 (2016) 1, pp. 14-27
Persistent link: https://www.econbiz.de/10011542992
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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
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An explicit solution for a portfolio selection problem with stochastic volatility
Sandjo, Albert Nana; Colin, Fabrice; Moutari, Salissou - In: Journal of mathematical finance 7 (2017) 1, pp. 199-218
Persistent link: https://www.econbiz.de/10011658467
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On the threshold dividend strategy for a generalized jump : diffusion risk model
Chi, Yichun; Lin, X. Sheldon - In: Insurance / Mathematics & economics 48 (2011) 3, pp. 326-337
Persistent link: https://www.econbiz.de/10008989302
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An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
Badaoui, Mohamed; Fernández, Begoña - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10009785429
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Risk perception and diversification behaviour in investment decisions
Siebenmorgen, Niklas - 2001
Persistent link: https://www.econbiz.de/10001553464
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Stochastic-Volatility, Jump-Diffusion Optimal Portfolio Problem with Jumps in Returns and Volatility
Hanson, Floyd B. - 2011
This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility …, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the …-amplitude distribution in volatility for the optimal portfolio problem. Although unlimited borrowing and short-selling play an important role …
Persistent link: https://www.econbiz.de/10013123110
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Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique
Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490
Persistent link: https://www.econbiz.de/10012798425
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Portfolio choices : comparative statics under both expected return and volatility uncertainty
Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035
Persistent link: https://www.econbiz.de/10012515634