Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

By Huyen Pham. 2002

138 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/720eaee5181ab89402094fafacd0c83d22958148

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Economics and Econometrics

In Finance

Citations in the corpus

DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (2011, background): “Interestingly, in a different context of liquidity risk, where investors can only trade in stocks at Poisson random times, Pham and Tankov (2009) also found that the optimal control problem leads to solving a coupled system of integro-partial differential equations.”
Stochastic Partial Differential Equations and Portfolio Choice (2010, background): “Regularity results for the value function (17) for general utility functions have not been obtained to date except for the special cases of homothetic preferences (see, for example, [26], [33], [40] and [44]).”
Portfolio optimization with unobservable Markov-modulated drift process (2005, methodology): “The power change of variable for the value function has already been used by Zariphopoulou (2001) and Pham (2002).”
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (2005, background): “Given an investor maximizing power utility from terminal wealth, Pham (2002) considers a multidimensional model for securities with stochastic volatilities.”
Portfolios and risk premia for the long run. (2012, unknown): “The corresponding HJB equation becomes [see, e.g., Pham (2002)] − ∂w ∂t = pr− q 2 µ′Σ−1µ+ 1 2 ∇w′(A− qΥ′Σ−1Υ)∇w (41) +∇w′(b− qΥ′Σ−1µ) + 1 2 tr(AD2w) with the terminal condition w(y,T ) = 0.”
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, methodology): “…the closed-form expression of the optimal strategies and the optimal value functions in some situations using the HJB approach; Zariphopoulou (2001), Pham (2002), Kraft (2005) and Taksar and Zeng (2009) studied the optimal investment problems 0167-6687/$ – see front matter© 2011 Elsevier B.V.”
A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model (2005, methodology): “However, in the case of only one risky asset, the transformation of Zariphopoulou seems to be more efficient as it fully removes the nonlinearity, whereas the one employed in [5] does not.”
Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model (2007, methodology): “We deduce (see, for example, Duffie and Zariphopoulou (1993) and Pham (2002)) that the above equation has a unique solution in the class of functions that are concave and increasing in x, and are uniformly bounded in y.”
On some recent aspects of stochastic control and their applications (2005, background): “This last point is developed in [91] and [77].”
Optimal Control Problem Associated with Jump Processes (2004, methodology): “As for stochastic models, there are extensive works by Hindy and Huang [17], Pham [ 29 ], Benth et al. [4]‐[6], and Framstad et al. [15].”