scholarly journals Construction of Quasi Optimal Portfolio for Stochastic Models of Financial Market

2004 ◽  
pp. 803-810 ◽  
Author(s):  
Aleksander Janicki ◽  
Jakub Zwierz
Keyword(s):  
Financial Market ◽  
Stochastic Models ◽  
Optimal Portfolio

scholarly journals Optimal portfolio of an investor in a financial market

2021 ◽  
Vol 1734 ◽  
pp. 012050
Author(s):  
Celestine Achudume ◽  
Olabisi O. Ugbebor
Keyword(s):  
Financial Market ◽  
Optimal Portfolio

Utility Maximization and Optimal Portfolio Selection

2016 ◽  
pp. 246-270
Author(s):  
S. Udayabaskaran
Keyword(s):  
Stochastic Volatility ◽  
Transaction Cost ◽  
Portfolio Selection ◽  
Stochastic Models ◽  
Utility Maximization ◽  
Optimal Portfolio ◽  
Optimal Portfolio Selection

Utility maximization and optimal portfolio selection with or with-out consumption/transaction cost based on stochastic models of prices of securities with stochastic volatility are discussed.

scholarly journals Portfolio Optimization under Correlation Constraint

Risks ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 15
Author(s):  
Aditya Maheshwari ◽  
Traian A. Pirvu
Keyword(s):  
Portfolio Optimization ◽  
Financial Market ◽  
Lower Risk ◽  
Time Horizon ◽  
Optimal Portfolio ◽  
Exponential Utility ◽  
Portfolio Strategies ◽  
Utility Loss ◽  
The Cost ◽  
Analytical Expressions

We consider the problem of portfolio optimization with a correlation constraint. The framework is the multi-period stochastic financial market setting with one tradable stock, stochastic income, and a non-tradable index. The correlation constraint is imposed on the portfolio and the non-tradable index at some benchmark time horizon. The goal is to maximize a portofolio’s expected exponential utility subject to the correlation constraint. Two types of optimal portfolio strategies are considered: the subgame perfect and the precommitment ones. We find analytical expressions for the constrained subgame perfect (CSGP) and the constrained precommitment (CPC) portfolio strategies. Both these portfolio strategies yield significantly lower risk when compared to the unconstrained setting, at the cost of a small utility loss. The performance of the CSGP and CPC portfolio strategies is similar.

scholarly journals Nonlinear Stochastic Equation within an Itô Prescription for Modelling of Financial Market

Entropy ◽  
2019 ◽  
Vol 21 (5) ◽  
pp. 530 ◽  
Author(s):  
Leonardo S. Lima
Keyword(s):  
Mathematical Model ◽  
Financial Markets ◽  
Financial Market ◽  
Stochastic Models ◽  
Stochastic Equation ◽  
Planck Equation ◽  
Cumulative Probability ◽  
Long Tail ◽  
Inverse Power Law ◽  
Tail Distribution

The stochastic nonlinear model based on Itô diffusion is proposed as a mathematical model for price dynamics of financial markets. We study this model with relation to concrete stylised facts about financial markets. We investigate the behavior of the long tail distribution of the volatilities and verify the inverse power law behavior which is obeyed for some financial markets. Furthermore, we obtain the behavior of the long range memory and obtain that it follows to a distinct behavior of other stochastic models that are used as models for the finances. Furthermore, we have made an analysis by using Fokker–Planck equation independent on time with the aim of obtaining the cumulative probability distribution of volatilities P ( g ) , however, the probability density found does not exhibit the cubic inverse law.

scholarly journals Inclusão de Custos de Transação Não-Lineares na Otimização Média-Variância

2005 ◽  
Vol 3 (2) ◽  
pp. 195
Author(s):  
José Euclides De Melo Ferraz ◽  
Christian Johannes Zimmer
Keyword(s):  
Approximation Algorithm ◽  
Transaction Costs ◽  
Portfolio Optimization ◽  
Financial Market ◽  
Optimal Portfolio ◽  
Market Impact ◽  
Market Data ◽  
Bid Ask Spread ◽  
Mean Variance Portfolio ◽  
Mean Variance

In this article we propose a new way to include transaction costs into a mean-variance portfolio optimization. We consider brokerage fees, bid/ask spread and the market impact of the trade. A pragmatic algorithm is proposed, which approximates the optimal portfolio, and we can show that is converges in the absence of restrictions. Using Brazilian financial market data we compare our approximation algorithm with the results of a non-linear optimizer.

scholarly journals Optimal Portfolios for Different Anticipating Integrals under Insider Information

Mathematics ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 75
Author(s):  
Carlos Escudero ◽  
Sandra Ranilla-Cortina
Keyword(s):  
Portfolio Optimization ◽  
Financial Market ◽  
Investment Strategy ◽  
Stochastic Calculus ◽  
Optimal Portfolio ◽  
Simple Problem ◽  
Optimal Portfolios ◽  
Insider Information ◽  
Anticipating Stochastic Calculus ◽  
Potential Use

We consider the non-adapted version of a simple problem of portfolio optimization in a financial market that results from the presence of insider information. We analyze it via anticipating stochastic calculus and compare the results obtained by means of the Russo-Vallois forward, the Ayed-Kuo, and the Hitsuda-Skorokhod integrals. We compute the optimal portfolio for each of these cases with the aim of establishing a comparison between these integrals in order to clarify their potential use in this type of problem. Our results give a partial indication that, while the forward integral yields a portfolio that is financially meaningful, the Ayed-Kuo and the Hitsuda-Skorokhod integrals do not provide an appropriate investment strategy for this problem.

scholarly journals Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework

2022 ◽  
Vol 0 (0) ◽  
pp. 0
Author(s):  
Zilan Liu ◽  
Yijun Wang ◽  
Ya Huang ◽  
Jieming Zhou
Keyword(s):  
Financial Market ◽  
Pension Fund ◽  
Absolute Risk ◽  
Optimal Portfolio ◽  
Programming Approach ◽  
Defined Contribution ◽  
Optimal Portfolios ◽  
Fund Managers ◽  
Dynamic Programming Approach ◽  
Hara Utility

<p style='text-indent:20px;'>This paper studies the optimal portfolio selection for defined contribution (DC) pension fund with mispricing. We adopt the general hyperbolic absolute risk averse (HARA) utility to describe the risk performance of the pension fund managers. The financial market comprises a risk-free asset, a pair of mispriced stocks, and the market index. Using the dynamic programming approach, we construct the Hamilton-Jacobi-Bellman (HJB) equation and obtain the explicit expressions for optimal portfolio choices with two methods. Finally, numerical analysis is presented to illustrate the sensitivity of the optimal portfolios to parameters of the financial market and contribution process. <b>200</b> words.</p>

ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS

2000 ◽  
Vol 03 (04) ◽  
pp. 641-659 ◽  
Author(s):  
AXEL GRORUD
Keyword(s):  
Brownian Motion ◽  
Asymmetric Information ◽  
Poisson Process ◽  
Explicit Expression ◽  
Financial Market ◽  
Compound Poisson Process ◽  
Optimal Portfolio ◽  
Financial Strategy ◽  
Compound Poisson ◽  
Mouvement Brownien

This paper uses the enlargement of filtrations to analyze the financial strategy of an insider trader in a discontinuous time market where prices are driven by a Brownian motion and a compound Poisson process. We compare this strategy with that of a non-insider trader. The market is a chosen viable and complete; we can give an explicit expression of the optimal portfolio of the insider trader. On considère un marché financier dont les prix sont dirigés par un mouvement brownien et un processus de Poisson multivarié. Dans ce cadre le marché peut être complet et viable. Nous étudions la stratégie financière d'un agent qui a une information anticipant l'évolution du marché et nous la comparons un agent qui n'a pas cette information. La complétude du marché permet d'expliciter le portefeuille optimal de l'agent initié. Le grossissement de filtration permet de replacer une équation anticipante dans un cadre adapté.

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