Long-Term Optimal Investment in Matrix Valued Factor Models

DOI10.1137/15M1030625zbMath1367.91169arXiv1408.7010MaRDI QIDQ5280243

Scott Robertson, Hao Xing

Publication date: 20 July 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.7010

zbMATH Keywords

portfolio choicerisk sensitive controlWishart processlong-runisoelastic utilitylong horizon optimal investment problemsmatrix valued state variablesoptimal strategy convergenceportfolio turnpike

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20) Portfolio theory (91G10) Semilinear parabolic equations (35K58)

Related Items (4)

Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps ⋮ Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints ⋮ Turnpike property and convergence rate for an investment and consumption model ⋮ Consumption-investment optimization with Epstein-Zin utility in incomplete markets

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Wishart autoregressive process of multivariate stochastic volatility
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
• Abstract, classic, and explicit turnpikes
• On strong solutions for positive definite jump diffusions
• Utility maximization in models with conditionally independent increments
• Consumption and portfolio turnpike theorems in a continuous-time finance model
• Wishart processes
• A continuous-time portfolio turnpike theorem
• Risk-sensitive dynamic asset management
• Turnpike behavior of long-term investments
• Matrix Riccati equations in control and systems theory
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• Risk-sensitive control and an optimal investment model. II.
• Risk sensitive asset management with transaction costs
• Option pricing when correlations are stochastic: an analytical framework
• Portfolios and risk premia for the long run
• The numéraire portfolio in semimartingale financial models
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Risk-Sensitive Control and an Optimal Investment Model
• Large Time Behavior of Solutions to SemiLinear Equations with Quadratic Growth in the Gradient
• ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS
• Recurrence and Transience of Optimal Feedback Processes Associated with Bellman Equations of Ergodic Type
• STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS
• Risk-sensitive benchmarked asset management
• A multifactor volatility Heston model
• Long-Term Risk: An Operator Approach
• Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions
• Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
• Stochastic Integration with Jumps
• Risk-sensitive portfolio optimization on infinite time horizon
• Optimal Portfolios for Financial Markets with Wishart Volatility
• Continuous Time Wishart Process for Stochastic Risk
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

This page was built for publication: Long-Term Optimal Investment in Matrix Valued Factor Models