Selection of an optimal portfolio with stochastic volatility and discrete observations
WIT transactions on modelling and simulation2006Vol. 1, pp. 371–380
Citations Over Time
Abstract
We give a numerical method to calculate the optimal self-financing portfolio of stock and risk-free asset to maximize the wealth's expected future utility, in the case of stochastic volatility and discrete observations: the portfolio stock allocation is only allowed to change discretely in time at fixed time intervals. We use a particle-filtering and Monte-Carlo-type algorithm, which we implement forward in time in the case of power utility.
Related Papers
- → Stochastic volatility and stochastic leverage(2010)34 cited
- → The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance(2014)10 cited
- → Stochastic Volatility and Stochastic Leverage(2009)2 cited
- → Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (a review)(1999)1 cited
- → Quantitative Approach to Asset Allocation(1993)