Optimal Strategies for a Long-Term Static Investor

DOI10.1080/15326349.2014.929504zbMath1303.91163arXiv1311.6179OpenAlexW2000752000MaRDI QIDQ3191881

Lingjiong Zhu

Publication date: 25 September 2014

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.6179

zbMATH Keywords

Vasicek modelHeston modelmaximization3/2 modelexpected long-term growth ratelong-term optimal strategiesstatic investor

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (1)

LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH

Cites Work

• Unnamed Item
• Unnamed Item
• Portfolio choice with endogenous utility: a large deviations approach.
• A large deviations approach to optimal long term investment
• Optimal long term growth rate of expected utility of wealth
• A new approach for option pricing under stochastic volatility
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Options on realized variance by transform methods: a non-affine stochastic volatility model

This page was built for publication: Optimal Strategies for a Long-Term Static Investor