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Quantitative Finance > Portfolio Management

arXiv:1311.6179 (q-fin)
[Submitted on 24 Nov 2013 (v1), last revised 14 Oct 2014 (this version, v3)]

Title:Optimal Strategies for a Long-Term Static Investor

Authors:Lingjiong Zhu
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Abstract:The optimal strategies for a long-term static investor are studied. Given a portfolio of a stock and a bond, we derive the optimal allocation of the capitols to maximize the expected long-term growth rate of a utility function of the wealth. When the bond has constant interest rate, three models for the underlying stock price processes are studied: Heston model, 3/2 model and jump diffusion model. We also study the optimal strategies for a portfolio in which the stock price process follows a Black-Scholes model and the bond process has a Vasicek interest rate that is correlated to the stock price.
Comments: 14 pages
Subjects: Portfolio Management (q-fin.PM)
Cite as: arXiv:1311.6179 [q-fin.PM]
  (or arXiv:1311.6179v3 [q-fin.PM] for this version)
  https://doi.org/10.48550/arXiv.1311.6179
Journal reference: Stochastic Models 2014, Volume 30, Issue 3, 300-318

Submission history

From: Lingjiong Zhu [view email]
[v1] Sun, 24 Nov 2013 22:27:44 UTC (10 KB)
[v2] Sat, 24 May 2014 23:21:00 UTC (10 KB)
[v3] Tue, 14 Oct 2014 22:38:29 UTC (10 KB)
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