Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
From MaRDI portal
Publication:4409028
DOI10.1111/1467-9965.00015zbMath1049.91060OpenAlexW2032727311MaRDI QIDQ4409028
Kristin Reikvam, Fred Espen Benth, Kenneth Hvistendahl Karlsen
Publication date: 25 August 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00015
Related Items
Mean–variance portfolio selection based on a generalized BNS stochastic volatility model ⋮ Optimal strategies for asset allocation and consumption under stochastic volatility ⋮ Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps ⋮ The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models ⋮ Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type ⋮ Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes ⋮ Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type ⋮ HARA frontiers of optimal portfolios in stochastic markets ⋮ Utility maximization in models with conditionally independent increments ⋮ Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models ⋮ Resolution of Degeneracy in Merton's Portfolio Problem ⋮ Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients ⋮ Optimal investment and risk control for an insurer with stochastic factor ⋮ The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity ⋮ Calculations of greeks for jump diffusion processes ⋮ Unnamed Item ⋮ On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps ⋮ UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS ⋮ Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type ⋮ NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE ⋮ Convergence in multiscale financial models with non-Gaussian stochastic volatility ⋮ Optimal portfolio, partial information and Malliavin calculus ⋮ Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing ⋮ Consumption-investment problem with pathwise ambiguity under logarithmic utility ⋮ Portfolio optimization and a factor model in a stochastic volatility market
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Processes of normal inverse Gaussian type
- Optimal portfolios for logarithmic utility.
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Exponential Hedging and Entropic Penalties
- Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- The Variance Gamma Process and Option Pricing
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
