## Abstract In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both partial and general equilibrium settings. In a partial equilibrium setting we derive an analog of the classic Samuelson–Merton optimal portfolio result and define volatility‐adjusted risk av
✦ LIBER ✦
An optimal portfolio model with stochastic volatility and stochastic interest rate
✍ Scribed by Eun-Jung Noh; Jeong-Hoon Kim
- Book ID
- 108178796
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 213 KB
- Volume
- 375
- Category
- Article
- ISSN
- 0022-247X
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
Optimal portfolio choice and stochastic
✍
Anne Gron; Bjørn N. Jørgensen; Nicholas G. Polson
📂
Article
📅
2011
🏛
John Wiley and Sons
🌐
English
⚖ 647 KB
Optimal investment problem with stochast
✍
Jinzhu Li; Rong Wu
📂
Article
📅
2009
🏛
John Wiley and Sons
🌐
English
⚖ 126 KB
## Abstract In this paper, we assume that an investor can invest his/her wealth in a bond and a stock. In our wealth model, the stochastic interest rate is described by a Cox–Ingersoll–Ross (CIR) model, and the volatility of the stock is proportional to another CIR process. We obtain a closed‐form
An optimal consumption model with stocha
✍
Wendell H. Fleming; Daniel Hernández-Hernández
📂
Article
📅
2003
🏛
Springer-Verlag
🌐
English
⚖ 160 KB
Optimal Portfolio in Partially Observed
✍
Pham, Huy\^en; Quenez, Marie-Claire
📂
Article
📅
2001
🏛
Institute of Mathematical Statistics
🌐
English
⚖ 35 KB
Testing Option Pricing Models with Stoch
Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates
✍
George J. Jiang
📂
Article
📅
2002
🏛
John Wiley and Sons
🌐
English
⚖ 335 KB
A Stochastic Control Approach to Portfol
✍
Korn, Ralf; Kraft, Holger
📂
Article
📅
2002
🏛
Society for Industrial and Applied Mathematics
🌐
English
⚖ 212 KB