Optimal Strategies for a Long-Term Static Investor

Lingjiong Zhu

Papers from arXiv.org

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.

Date: 2013-11, Revised 2014-10
New Economics Papers: this item is included in nep-upt
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Citations: View citations in EconPapers (4)

Published in Stochastic Models 2014, Volume 30, Issue 3, 300-318

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1311.6179

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