Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
暂无分享,去创建一个
[1] J. Fouque,et al. Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment , 2018, Applied Mathematical Finance.
[2] G. Constantinides,et al. Portfolio selection with transactions costs , 1976 .
[3] Sanford J. Grossman,et al. OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS , 1993 .
[4] Josselin Garnier,et al. Correction to Black-Scholes Formula Due to Fractional Stochastic Volatility , 2015, SIAM J. Financial Math..
[5] F. Viens,et al. Estimation and pricing under long-memory stochastic volatility , 2012 .
[6] Josselin Garnier,et al. Option pricing under fast‐varying long‐memory stochastic volatility , 2016, Mathematical Finance.
[7] R. Cont. Long range dependence in financial markets , 2005 .
[8] Patrick Cheridito,et al. Fractional Ornstein-Uhlenbeck processes , 2003 .
[9] W. Schachermayer,et al. Necessary and sufficient conditions in the problem of optimal investment in incomplete markets , 2003 .
[10] Andrew J. Patton,et al. What good is a volatility model? , 2001 .
[11] Stochastic Volatility and Epsilon-Martingale Decomposition , 2001 .
[12] Ronnie Sircar,et al. Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio , 2016, SIAM J. Financial Math..
[13] J. Fouque,et al. Optimal portfolio under fractional stochastic environment , 2017, Mathematical Finance.
[14] Romuald Elie,et al. Optimal lifetime consumption and investment under a drawdown constraint , 2008, Finance Stochastics.
[15] L. Coutin. An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion , 2007 .
[16] Luis M. Viceira,et al. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets , 1999 .
[17] R. C. Merton,et al. Optimum Consumption and Portfolio Rules in a Continuous-Time Model* , 1975 .
[18] Jean-Pierre Fouque,et al. Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment , 2016, SIAM J. Control. Optim..
[19] Jakša Cvitanić,et al. On portfolio optimization under "drawdown" constraints , 1994 .
[20] B. Øksendal,et al. Stochastic Calculus for Fractional Brownian Motion and Applications , 2008 .
[21] A. Philippe,et al. Generators of long-range dependent processes: A survey , 2003 .
[22] Jakša Cvitanić,et al. Optimal consumption choices for a 'large' investor , 1998 .
[23] R. Sircar,et al. PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS , 2017 .
[24] Martin Schweizer,et al. Exponential utility indifference valuation in two Brownian settings with stochastic correlation , 2008, Advances in Applied Probability.
[25] G. Papanicolaou,et al. Derivatives in Financial Markets with Stochastic Volatility , 2000 .
[26] Frederi G. Viens,et al. Stochastic volatility and option pricing with long-memory in discrete and continuous time , 2012 .
[27] Thaleia Zariphopoulou. Optimal investment and consumption models with non-linear stock dynamics , 1999, Math. Methods Oper. Res..
[28] R. C. Merton,et al. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case , 1969 .
[29] R. Cont. Empirical properties of asset returns: stylized facts and statistical issues , 2001 .
[30] T. Zariphopoulou,et al. Qualitative Analysis of Optimal Investment Strategies in Log-Normal Markets , 2014 .
[31] B. Mandelbrot,et al. Fractional Brownian Motions, Fractional Noises and Applications , 1968 .
[32] J. Muhle‐Karbe,et al. Portfolio Choice with Transaction Costs: A User's Guide , 2012, 1207.7330.
[33] Ronnie Sircar,et al. Portfolio Optimization & Stochastic Volatility Asymptotics , 2013 .
[34] F. Breidt,et al. The detection and estimation of long memory in stochastic volatility , 1998 .
[35] Michael R. Tehranchi. Explicit solutions of some utility maximization problems in incomplete markets , 2004 .