Mean–variance portfolio selection based on a generalized BNS stochastic volatility model

2011 ◽  
Vol 88 (16) ◽  
pp. 3521-3534 ◽  
Author(s):  
Wanyang Dai
Keyword(s):  
Stochastic Volatility ◽  
Portfolio Selection ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Mean Variance Portfolio ◽  
Mean Variance

scholarly journals Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility

Risks ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 61
Author(s):  
Yumo Zhang
Keyword(s):  
Stochastic Volatility ◽  
Portfolio Selection ◽  
Stock Price ◽  
Backward Stochastic Differential Equation ◽  
Time Inconsistency ◽  
Optimal Time ◽  
Model Parameters ◽  
Mean Variance Portfolio ◽  
The Impact ◽  
Mean Variance

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation (BSDE) approach, closed-form expressions for the statically optimal (time-inconsistent) strategy and the value function are derived. Due to time-inconsistency of mean variance criterion, a dynamic formulation of the problem is presented. We obtain the dynamically optimal (time-consistent) strategy explicitly, which is shown to keep the wealth process strictly below the target (expected terminal wealth) before the terminal time. Finally, we provide numerical studies to show the impact of main model parameters on the efficient frontier and illustrate the differences between the two optimal wealth processes.

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
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