Portfolio Selection in Stochastic Environments

By Jun Liu. 2007

376 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ba66addd725c7f1718aaf9af14c42023eb3a9e0c

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Citations in the corpus

Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, neutral): “For instance, Liu & Pan (2003), Chacko & Viceira (2005), Kraft (2005) and Liu (2007) considered the optimal investment and/or consumption problems under Heston’s SV model by adopting the stochastic dynamic programming approach; Pham & Quenez (2001), Viens (2002), and Kim & Viens (2012) focused on…”
Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model (2007, background): “The excess risky demand is the required investment that emerges from the local in time changes in the Sharpe ratio (see, among others, Kim and Omberg [16], Liu [ 18 ], Campbell and Viceira [4], Chacko and Viceira [6], Wachter [34], and Campell et al. [5]).”
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, background): “For example, Zariphopoulou (1999), Fleming and Hernández-Hernández (2003), Chacko and Viceira (2005) and Liu (2007) considered the optimal investment and consumption problems under SV models and derived the closed-form expression of the optimal strategies and the optimal value functions in some…”
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (2005, methodology): “(2003). Liu (2001a) considers Heston’s model and comes up with the same candidate for the optimal portfolio strategy as we do for Heston’s”
Stochastic Partial Differential Equations and Portfolio Choice (2010, background): “The smoothness of the value function and, in turn, the verication of the optimal feedback policies follows (see, among others, [24], [25], [26], [31] and [44]).”
Portfolios and risk premia for the long run. (2012, background): “99), as well as Castan˜edaLeyva and Hernandez-Hern´andez (2005) for a setting similar to the one in this paper. 3Kim and Omberg (1996), Brennan and Xia ( 2002), Wachter ( ), Munk and Sørensen (2004), Liu (2007), compute optimal portfolios explicitly for certain models. 4 Fleming and McEneaney (1995 ”
A stochastic volatility model and optimal portfolio selection (2013, background): “Liu (2007) considers the portfolio selection problem in a multi-dimensional market with a stochastic interest rate, or a stochastic forward rate with quadratic diffusion coefficients.”