Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz … financial instruments formulation procedure at an increased market volatility. Design/methodology/approach - In order to … two states, i.e., quiescent (non-crisis; low market volatility) periods that are occasionally interspersed with stress …

bankruptcy payment. We derive novel asymptotic solution to this problem under the fast mean-reverting stochastic volatility model …

markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for …-White and 3/2 SV models. The uniqueness of the equilibrium controls are related to the mean-reverting speed of the volatility …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

In this paper, first we study a stochastic volatility market model for which an explicit candidate solution to the …

incomplete market with stochastic volatility that is not perfectly hedgeable. By combining standard asymptotic expansion … technique for the underlying volatility process, we derive explicit expression for the solution of the FBSDE up to the third … order of volatility-of-volatility, which can be directly translated into the optimal investment strategy. We compare our …