Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment

DOI10.1137/16M1066762zbMath1365.93542arXiv1603.03538MaRDI QIDQ5270335

Jean-Pierre Fouque, Ruimeng Hu

Publication date: 23 June 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.03538

zbMATH Keywords

stochastic volatilityregular perturbationasymptotic optimalityportfolio allocation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Asymptotic expansions of solutions to PDEs (35C20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs in connection with control and optimization (35Q93)

Related Items

Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment ⋮ Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity ⋮ Optimal investment with correlated stochastic volatility factors ⋮ Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient ⋮ Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment ⋮ Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment ⋮ Portfolio selection with drawdown constraint on consumption: a generalization model ⋮ Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion ⋮ Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy ⋮ Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities ⋮ Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Optimal lifetime consumption and investment under a drawdown constraint
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Partial differential equations. 4th ed
• Portfolio selection with transactions costs
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• Optimal investment and consumption models with non-linear stock dynamics
• Moment explosions in stochastic volatility models
• Portfolio Choice with Transaction Costs: A User’s Guide
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS