Continuous-time optimal portfolio model with mean-reverting process

被引：0
|
作者：
Yu, Xing [1 ]
机构：
[1] Department of Mathematics and Applied Mathematics, Hunan University of humanities, science and technology, Loudi, China
来源：
Computer Modelling and New Technologies | 2014年 / 18卷 / 05期
关键词：
Approximation approach - Computationally efficient - Continuous-time - Dynamic programming methods - Portfolio optimization;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper studies a continuous-time portfolio optimization problem. It is proposed a simple but powerful approximation approach that is both accurate and computationally efficient for the terminal expectation of the investors with mean-reverting process, which is different from the existing literatures that apply the dynamic programming method. Numerical examples illustrate the computational efficiency and accuracy of our approach when compared with results from Monte Carlo (MC) simulations.
引用
收藏
页码：226 / 229
相关论文
共 50 条
  • [31] Inference for a mean-reverting stochastic process with multiple change points
    Chen, Fuqi
    Mamon, Rogemar
    Davison, Matt
    [J]. ELECTRONIC JOURNAL OF STATISTICS, 2017, 11 (01): : 2199 - 2257
  • [32] A Continuous-Time Hidden Markov Model for Mean-Variance Portfolio Optimization
    Elliott, Robert J.
    Siu, Tak Kuen
    [J]. ISCAS: 2009 IEEE INTERNATIONAL SYMPOSIUM ON CIRCUITS AND SYSTEMS, VOLS 1-5, 2009, : 1189 - +
  • [33] Existence Theorem for Mean-Reverting CEV Process with Regime Switching
    Xu, Ruxing
    Yi, Ronghua
    Wu, Dan
    [J]. PROCEEDINGS OF THE 2015 INTERNATIONAL CONFERENCE ON MECHATRONICS, ELECTRONIC, INDUSTRIAL AND CONTROL ENGINEERING, 2015, 8 : 1560 - 1563
  • [34] A model for liver homeostasis using modified mean-reverting Ornstein-Uhlenbeck process
    Trost, D. C.
    Overman, E. A., II
    Ostroff, J. H.
    Xiong, W.
    March, P.
    [J]. COMPUTATIONAL AND MATHEMATICAL METHODS IN MEDICINE, 2010, 11 (01) : 27 - 47
  • [35] A stochastic epidemic model with individual heterogeneity and mean-reverting Ornstein-Uhlenbeck process
    Song, Jiacheng
    Lv, Wangyong
    Yang, Xiaofeng
    Zhang, Ce
    [J]. INTERNATIONAL JOURNAL OF BIOMATHEMATICS, 2024,
  • [36] Optimal switching strategy of a mean-reverting asset over multiple regimes
    Suzuki, Kiyoshi
    [J]. AUTOMATICA, 2016, 67 : 33 - 45
  • [37] Analysis of a stochastic population model with mean-reverting Ornstein–Uhlenbeck process and Allee effects
    Zhou, Baoquan
    Jiang, Daqing
    Hayat, Tasawar
    [J]. Communications in Nonlinear Science and Numerical Simulation, 2022, 111
  • [38] OPTIMAL PAIRS TRADING OF MEAN-REVERTING PROCESSES OVER MULTIPLE ASSETS
    Xie, Pengxu
    Bai, Lihua
    Zhang, Huayue
    [J]. NUMERICAL ALGEBRA CONTROL AND OPTIMIZATION, 2023, 13 (3-4): : 461 - 472
  • [39] Optimal dynamic pairs trading of futures under a two-factor mean-reverting model
    Leung, Tim
    Yan, Raphael
    [J]. INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2018, 5 (03)
  • [40] A pure-jump mean-reverting short rate model
    Hess, Markus
    [J]. MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2020, 7 (02): : 113 - 134
12345