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Optimal Strategies for a Long-Term Static Investor

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.

preprint2014arXivOpen access
Lingjiong Zhu
q-fin.PM
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Open access1 author1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Lingjiong Zhu

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