Portfolio optimization for pension plans under hybrid stochastic and local volatility

Applications of mathematics

关键词: pension plan;    portfolio optimization;    constant elasticity of variance;    stochastic volatility;    asymptotic analysis;   

DOI  :  10.1007/s10492-015-0091-9

学科分类：应用数学

来源: Akademie Ved Ceske Republiky

【 摘 要 】

Based upon an observation that it is too restrictive to assume a definite correlation of the underlying asset price and its volatility, we use a hybrid model of the constant elasticity of variance and stochastic volatility to study a portfolio optimization problem for pension plans. By using asymptotic analysis, we derive a correction to the optimal strategy for the constant elasticity of variance model and subsequently the fine structure of the corrected optimal strategy is revealed. The result is a generalization of Merton's strategy in terms of the stochastic volatility and the elasticity of variance.

【 授权许可】

Unknown