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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 …
Persistent link: https://www.econbiz.de/10012508614
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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
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Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang; Guo, Junyi - In: Mathematical methods of operations research 88 (2018) 1, pp. 59-79
Persistent link: https://www.econbiz.de/10011903385
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Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping; Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 78 (2018), pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
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Portfolio selection in stochastic environments
Liu, Jun - In: The review of financial studies 20 (2007) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10003403670
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Utility maximization in a stochastic affine interest rate and CIR risk premium framework : a BSDE approach
Zhang, Yumo - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 97-128
Persistent link: https://www.econbiz.de/10014321379
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Portfolio optimization problem with delay under Cox-Ingersoll-Ross model
A, Chunxiang; Shao, Yi - In: Journal of mathematical finance 7 (2017) 3, pp. 699-717
Persistent link: https://www.econbiz.de/10011752489
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Quasi-likelihood estimation of a threshold diffusion process
Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
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Testing for threshold diffusion
Su, Fei; Chan, Kung-sik - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 218-227
Persistent link: https://www.econbiz.de/10011704178
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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