Optimal investment models with stochastic volatility: the time inhomogeneous case

نویسندگان

چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal Investment with Transaction Costs and Stochastic Volatility

Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when the cost is small. Under stochastic volatility, but with no transaction costs, ...

متن کامل

Statistical Inference for Time - Inhomogeneous Volatility Models

This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes. On the contrary, we only suppose that the volatility can be approximated by a constant over some interval. In such a framework, the main problem consists of filtering this interval of time homogeneity; then the estimate of the...

متن کامل

Optimal investment with time-varying stochastic endowments

This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. We rely on the dynamic programming approach to solve the optimization problem. The properties of the value function, particularly the homogeneity, are used to reduce the HJB equation by one dimension. Furt...

متن کامل

Stochastic Volatility Models with Transaction Time Risk

We provide a structural approach to disentangle Granger versus instantaneous causality effects from transaction durations to transaction prices. So far, in the literature, instantaneous causality effects have either been excluded or cannot be identified separately from Granger type causality effects. By giving explicit moment conditions for observed returns over (random) transaction duration in...

متن کامل

Optimal Execution under Time-Inhomogeneous Price Impact and Volatility

We consider the problem of optimally liquidating a large position in a security within a specified period of time, to maximize a weighted sum of the expected value and variance of the profit from liquidating the position. To exploit predictable seasonal components in liquidity and volatility, we incorporate time-inhomogeneous linear price impact slopes and volatility into the formulation. We sh...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Quaestiones Mathematicae

سال: 2015

ISSN: 1607-3606,1727-933X

DOI: 10.2989/16073606.2014.981701