| Title:
|
Portfolio optimization for pension plans under hybrid stochastic and local volatility (English) |
| Author:
|
Yang, Sung-Jin |
| Author:
|
Kim, Jeong-Hoon |
| Author:
|
Lee, Min-Ku |
| Language:
|
English |
| Journal:
|
Applications of Mathematics |
| ISSN:
|
0862-7940 (print) |
| ISSN:
|
1572-9109 (online) |
| Volume:
|
60 |
| Issue:
|
2 |
| Year:
|
2015 |
| Pages:
|
197-215 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
Based upon an observation that it is too restrictive to assume a definite correlation of the underlying asset price and its volatility, we use a hybrid model of the constant elasticity of variance and stochastic volatility to study a portfolio optimization problem for pension plans. By using asymptotic analysis, we derive a correction to the optimal strategy for the constant elasticity of variance model and subsequently the fine structure of the corrected optimal strategy is revealed. The result is a generalization of Merton's strategy in terms of the stochastic volatility and the elasticity of variance. (English) |
| Keyword:
|
pension plan |
| Keyword:
|
portfolio optimization |
| Keyword:
|
constant elasticity of variance |
| Keyword:
|
stochastic volatility |
| Keyword:
|
asymptotic analysis |
| MSC:
|
90C39 |
| MSC:
|
90C59 |
| MSC:
|
90C90 |
| MSC:
|
91G10 |
| idZBL:
|
Zbl 06433679 |
| idMR:
|
MR3320345 |
| DOI:
|
10.1007/s10492-015-0091-9 |
| . |
| Date available:
|
2015-03-09T17:34:38Z |
| Last updated:
|
2020-07-02 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/144171 |
| . |
| Reference:
|
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