scholarly journals Closed-form portfolio optimization under GARCH models

2021 ◽  
pp. 100216
Author(s):  
Marcos Escobar-Anel ◽  
Maximilian Gollart ◽  
Rudi Zagst
Keyword(s):  
Closed Form ◽  
Portfolio Optimization ◽  
Garch Models

Anticipative portfolio optimization

1996 ◽  
Vol 28 (04) ◽  
pp. 1095-1122 ◽  
Author(s):  
Igor Pikovsky ◽  
Ioannis Karatzas
Keyword(s):  
Brownian Motion ◽  
Control Problem ◽  
Closed Form ◽  
Portfolio Optimization ◽  
Stochastic Control ◽  
Financial Economics ◽  
Optimal Portfolio ◽  
The Novel ◽  
Terminal Wealth ◽  
Terminal Values

We study a classical stochastic control problem arising in financial economics: to maximize expected logarithmic utility from terminal wealth and/or consumption. The novel feature of our work is that the portfolio is allowed to anticipate the future, i.e. the terminal values of the prices, or of the driving Brownian motion, are known to the investor, either exactly or with some uncertainty. Results on the finiteness of the value of the control problem are obtained in various setups, using techniques from the so-called enlargement of filtrations. When the value of the problem is finite, we compute it explicitly and exhibit an optimal portfolio in closed form.

Closed-form solutions for short-term sparse portfolio optimization

Optimization ◽  
2020 ◽  
pp. 1-17
Author(s):  
Ziyan Luo ◽  
Xiaotong Yu ◽  
Naihua Xiu ◽  
Xingyuan Wang
Keyword(s):  
Closed Form ◽  
Portfolio Optimization ◽  
Short Term ◽  
Closed Form Solutions ◽  
Sparse Portfolio

THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS

2017 ◽  
Vol 32 (3) ◽  
pp. 409-433 ◽  
Author(s):  
Xingchun Wang ◽  
Zhiwei Su ◽  
Guangli Xu
Keyword(s):  
Closed Form ◽  
Stock Price ◽  
Stock Options ◽  
Garch Models ◽  
Conditional Heteroskedasticity ◽  
Executive Stock Options ◽  
Time Varying ◽  
Autoregressive Conditional Heteroskedasticity

In this paper, we investigate executive stock options with endogenous departure and time-varying variances. We use a “Generalized Autoregressive Conditional Heteroskedasticity” process to capture the variance process of the log stock price. In addition, we take into consideration the departure risk of the executive and assume that the probability of remaining employed has a power form of stock price ratios. After deriving the closed-form pricing formulae of executive stock options, we illustrate the effects of the departure risk on the values of executive stock options.

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