Optimal Strategies for a Long-Term Static Investor
Portfolio Management
2014-10-16 v3
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.
Keywords
Cite
@article{arxiv.1311.6179,
title = {Optimal Strategies for a Long-Term Static Investor},
author = {Lingjiong Zhu},
journal= {arXiv preprint arXiv:1311.6179},
year = {2014}
}
Comments
14 pages