Selection of an optimal portfolio with stochastic volatility and discrete observations

WIT Transactions on Modelling and Simulation

Volumn 43, Issue , 2006, Pages 371-380

  Batalova, N V ^a   Maroussov, V ^b   Viens, F G ^c  

^a Bank of America   (United Kingdom)

^b PURDUE UNIVERSITY   (United States)

^c PURDUE UNIVERSITY   (United States)

Author keywords

Diffusion processes; Expected utility; Monte Carlo method; Numerical implementation; Particle filtering; Portfolio optimization; Stochastic volatility

Indexed keywords

ALGORITHMS; DIFFUSION; MONTE CARLO METHODS; NUMERICAL METHODS; RISK ASSESSMENT;

DIFFUSION PROCESSES; EXPECTED UTILITY; NUMERICAL IMPLEMENTATION; PARTICLE FILTERING; PORTFOLIO OPTIMIZATION; PORTFOLIO STOCK ALLOCATIONS; STOCHASTIC VOLATILITY;

RANDOM PROCESSES;

EID: 36148955844     PISSN: 1743355X     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.2495/CF060361     Document Type: Conference Paper

References (12)

1. Bjork, T. Arbitrage theory in continuous time. Oxford U.P., 1998.
2. Del Moral, P. Feynman-Kac Formulae; Genealogical abd Interacting Particle Systems with Applications. Springer-V., 2004.
3. Del Moral, P.; Jacod, J.; Protter Ph. The Monte Carlo method for filtering with discrete-time observations. Prob. Th. Rel. Fields. 120 (2001), no. 3, 346-368.
4. Desai, R.; Lele, T.; Viens, F. A Monte-Carlo method for portfolio optimization under partially observed stochastic volatility. CIFEr 03 IEEE Int. Conf. on Comp. Intelligence for Fin. Eng. (2003), 257-263.
5. Florescu, I; Viens, F. Stochastic volatility: option pricing using a multinomial recombining tree. Preprint, 2006, available at http://www.stat. purdue.edu/~viens/quatrtree7.pdf.
6. Fouque, J.-P.; Papanicolaou, G.; Sircar, K. R. Derivatives in financial markets with stochastic volatility. Cambridge University Press, Cambridge, 2000.
7. Frey R.; Runggaldier W.G. A nonlinear filtering approach to volatility estimation with a view towards high frequency data. Int. J. Theor. Appl. Finance 4 (2001), no. 2, 199-210.
8. Fornari, F.; Mele, A. Stochastic volatility in financial markets - Crossing the bridge to continuous time. Kluwer A.P., 2000.
9. Gallant, A. R.; Hsieh, D.; Tauchen, G. E. Estimation of stochastic volatility models with diagnostics, Journal of Econometrics 81 159-192 (1997).
10. Ghysels, E.; Harvey, A.C.; Renault, E. Stochastic volatility. Statistical methods in finance, 119-191, Handbook of Statist. 14, North-Holland, 1996.
11. Special issue on volatility modelling. M. Avellaneda and R. Cont, eds. Quantitative Finance 2(1), 2002.
12. Viens, F.G. Portfolio optimization under partially observed stochastic volatility. COMCON 8. W. Wells, Ed. 1-12. Optim. Soft., Inc, Pub. Div., 2002.