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Quantitative Finance Volume 17, 2017 - Issue 2
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Research Papers

Optimal investment under multi-factor stochastic volatility

Marcos EscobarDepartment of Mathematics, George Vari Engineering and Computing Centre, Ryerson University, 245 Church Street, Toronto, Ontario, Canada.
,
Sebastian FerrandoDepartment of Mathematics, George Vari Engineering and Computing Centre, Ryerson University, 245 Church Street, Toronto, Ontario, Canada.
&
Alexey RubtsovDepartment of Mathematics, Ryerson University, 350 Victoria St., Toronto, Ontario, Canada.Correspondence[email protected]
Pages 241-260 | Received 16 Oct 2015, Accepted 02 Jun 2016, Published online: 18 Jul 2016

Citations (18)

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Read on this site (6)

Yuyang Cheng & Marcos Escobar-Anel. (2023) A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions. Quantitative Finance 23:3, pages 497-519.
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Yuyang Cheng & Marcos Escobar-Anel. (2021) Optimal investment strategy in the family of 4/2 stochastic volatility models. Quantitative Finance 21:10, pages 1723-1751.
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Yongmin Zhang & Yingxue Zhao. (2021) Dynamic behaviour of optimal portfolio with stochastic volatility. Economic Research-Ekonomska Istraživanja 34:1, pages 352-367.
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V. Bergen, M. Escobar, A. Rubtsov & R. Zagst. (2018) Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity. Quantitative Finance 18:8, pages 1265-1294.
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Marcos Escobar. (2018) A stochastic volatility factor model of heston type. Statistical properties and estimation. Stochastics 90:2, pages 172-199.
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M. Escobar-Anel, M. Kschonnek & R. Zagst. Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model. Quantitative Finance 0:0, pages 1-21.
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Articles from other publishers (12)

Marcos Escobar-Anel, Lorenz Theilacker & Rudi Zagst. (2023) Revisiting the 1/N-strategy: a neural network framework for optimal strategies. Decisions in Economics and Finance 46:2, pages 505-542.
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Jun Feng, Shaoyong Lai & Liting Zhou. (2023) Investigations to the optimal derivative-based investment and proportional reinsurance strategies. Journal of Industrial and Management Optimization 0:0, pages 0-0.
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Yuyang Cheng & Marcos Escobar-Anel. (2023) Robust portfolio choice under the 4/2 stochastic volatility model. IMA Journal of Management Mathematics 34:1, pages 221-256.
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Yichen Zhu, Marcos Escobar-Anel & Matt Davison. (2022) A Polynomial-Affine Approximation for Dynamic Portfolio Choice. Computational Economics.
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Lei Hu & Dinghua Xu. (2022) Parameter identification for portfolio optimization with a slow stochastic factor. Journal of Inverse and Ill-posed Problems 0:0.
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Yichen Zhu & Marcos Escobar-Anel. (2022) Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck models. . Applied Mathematics and Computation 418, pages 126836.
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Junhe Chen & Marcos Escobar-Anel. (2021) Model uncertainty on commodity portfolios, the role of convenience yield. Annals of Finance 17:4, pages 501-528.
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Marcos Escobar-Anel, Javad Rastegari & Lars Stentoft. (2020) Affine multivariate GARCH models. Journal of Banking & Finance 118, pages 105895.
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Hang Wang & Zhijun Hu. (2020) Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. Chaos, Solitons & Fractals 138, pages 109775.
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Ben-Zhang Yang, Xiaoping Lu, Guiyuan Ma & Song-Ping Zhu. (2020) Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. Journal of Optimization Theory and Applications 186:1, pages 264-298.
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Marcos Escobar-Anel & Harold A. Moreno-Franco. (2019) Dynamic portfolio strategies under a fully correlated jump-diffusion process. Annals of Finance 15:3, pages 421-453.
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Weipeng Yuan & Shaoyong Lai. (2019) Family optimal investment strategy for a random household expenditure under the CEV model. Journal of Computational and Applied Mathematics 354, pages 1-14.
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