Advanced strategies of portfolio management in the Heston market model
Author
Abstract
Suggested Citation
DOI: 10.1016/j.physa.2021.125978
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Farias Nazário, Rodolfo Toríbio & e Silva, Jéssica Lima & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2017. "A literature review of technical analysis on stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 115-126.
- Leng, Na & Li, Jiang-Cheng, 2020. "Forecasting the crude oil prices based on Econophysics and Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164,
World Scientific Publishing Co. Pte. Ltd..
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- William N. Goetzmann & Alok Kumar, 2008.
"Equity Portfolio Diversification,"
Review of Finance, European Finance Association, vol. 12(3), pages 433-463.
- Alok Kumar & William N. Goetzmann, 2001. "Equity Portfolio Diversification," Yale School of Management Working Papers ysm236, Yale School of Management.
- William N. Goetzmann & Alok Kumar, 2004. "Equity Portfolio Diversification," Yale School of Management Working Papers ysm17, Yale School of Management.
- William N. Goetzmann & Alok Kumar, 2001. "Equity Portfolio Diversification," NBER Working Papers 8686, National Bureau of Economic Research, Inc.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Sebastián Ceria & Robert A Stubbs, 2006. "Incorporating estimation errors into portfolio selection: Robust portfolio construction," Journal of Asset Management, Palgrave Macmillan, vol. 7(2), pages 109-127, July.
- Lin, Sha & He, Xin-Jiang, 2020. "Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
- Franck Jovanovic & Christophe Schinckus, 2013. "The Emergence of Econophysics: A New Approach in Modern Financial Theory," History of Political Economy, Duke University Press, vol. 45(3), pages 443-474, Fall.
- Jakša Cvitanić & Ioannis Karatzas, 1996. "Hedging And Portfolio Optimization Under Transaction Costs: A Martingale Approach12," Mathematical Finance, Wiley Blackwell, vol. 6(2), pages 133-165, April.
- G. William Schwert, 2011.
"Stock Volatility during the Recent Financial Crisis,"
European Financial Management, European Financial Management Association, vol. 17(5), pages 789-805, November.
- G. William Schwert, 2011. "Stock Volatility During the Recent Financial Crisis," NBER Working Papers 16976, National Bureau of Economic Research, Inc.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
- Gruszka, Jarosław & Szwabiński, Janusz, 2020. "Best portfolio management strategies for synthetic and real assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
- Richmond, Peter & Sabatelli, Lorenzo, 2004. "Langevin processes, agent models and socio-economic systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 27-38.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2022. "Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices," Papers 2211.14814, arXiv.org.
- Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2023. "Portfolio Optimisation via the Heston Model Calibrated to Real Asset Data," Papers 2302.01816, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Najafi, Alireza & Taleghani, Rahman, 2022. "Fractional Liu uncertain differential equation and its application to finance," Chaos, Solitons & Fractals, Elsevier, vol. 165(P2).
- Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2023. "Portfolio Optimisation via the Heston Model Calibrated to Real Asset Data," Papers 2302.01816, arXiv.org.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- O. S. Rozanova & G. S. Kambarbaeva, 2015. "Optimal strategies of investment in a linear stochastic model of market," Papers 1501.07124, arXiv.org.
- Mencía, Javier & Sentana, Enrique, 2013.
"Valuation of VIX derivatives,"
Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
- Javier Mencía & Enrique Sentana, 2009. "Valuation of VIX Derivatives," Working Papers wp2009_0913, CEMFI.
- Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Working Papers 1232, Banco de España.
- Sentana, Enrique & MencÃa, Javier, 2010. "Valuation of VIX Derivatives," CEPR Discussion Papers 7619, C.E.P.R. Discussion Papers.
- Bianca Reichert & Adriano Mendon a Souza, 2022. "Can the Heston Model Forecast Energy Generation? A Systematic Literature Review," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 289-295.
- Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, July-Dece.
- Thomas Kokholm & Martin Stisen, 2015. "Joint pricing of VIX and SPX options with stochastic volatility and jump models," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 16(1), pages 27-48, January.
- Darren Shannon & Grigorios Fountas, 2021. "Extending the Heston Model to Forecast Motor Vehicle Collision Rates," Papers 2104.11461, arXiv.org, revised May 2021.
- Yang, Nian & Chen, Nan & Wan, Xiangwei, 2019. "A new delta expansion for multivariate diffusions via the Itô-Taylor expansion," Journal of Econometrics, Elsevier, vol. 209(2), pages 256-288.
- Andrew F. Siegel & Artemiza Woodgate, 2007. "Performance of Portfolios Optimized with Estimation Error," Management Science, INFORMS, vol. 53(6), pages 1005-1015, June.
- Almeida, Thiago Ramos, 2024. "Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility," Research in International Business and Finance, Elsevier, vol. 70(PA).
- Chenxu Li, 2014. "Closed-Form Expansion, Conditional Expectation, and Option Valuation," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 487-516, May.
- Levendorskii, Sergei, 2004. "Consistency conditions for affine term structure models," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 225-261, February.
- O. Samimi & Z. Mardani & S. Sharafpour & F. Mehrdoust, 2017. "LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 173-187, August.
- Almut Veraart & Luitgard Veraart, 2012.
"Stochastic volatility and stochastic leverage,"
Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
- Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, Department of Economics and Business Economics, Aarhus University.
- David E. Allen & Michael McAleer & Abhay K. Singh, 2016.
"A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies,"
Documentos de Trabajo del ICAE
2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
- Gaetano Bua & Daniele Marazzina, 2021. "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, vol. 18(2), pages 149-176, June.
- Jan Kallsen & Johannes Muhle-Karbe, 2013. "The General Structure of Optimal Investment and Consumption with Small Transaction Costs," Papers 1303.3148, arXiv.org, revised May 2015.
- Prosper Dovonon, 2013.
"Conditionally Heteroskedastic Factor Models With Skewness And Leverage Effects,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1110-1137, November.
- Dovonon, Prosper, 2008. "Conditionally heteroskedastic factor models with skewness and leverage effects," MPRA Paper 40206, University Library of Munich, Germany, revised Feb 2012.
More about this item
Keywords
Portfolio management; Diversification; MACD; RSI;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002508. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.