Optimal asset allocation in a stochastic factor model – an overview and open problems

Chapters in this book

1. Frontmatter i
2. Contents vii
3. Brownian semistationary processes and volatility/intermittency 1
4. From bounds on optimal growth towards a theory of good-deal hedging 27
5. Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs 53
6. Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs 91
7. Affine diffusion processes: theory and applications 125
8. Multilevel quasi-Monte Carlo path simulation 165
9. Modelling default and prepayment using Lévy processes: an application to asset backed securities 183
10. Adaptive variance reduction techniques in finance 205
11. Regularisation of inverse problems and its application to the calibration of option price models 223
12. Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions 245
13. A review of some recent results on Malliavin Calculus and its applications 275
14. The numeraire portfolio in discrete time: existence, related concepts and applications 303
15. A worst-case approach to continuous-time portfolio optimisation 327
16. Time consistency and information monotonicity of multiperiod acceptability functionals 347
17. Optimal investment and hedging under partial and inside information 371
18. Investment/consumption choice in illiquid markets with random trading times 411
19. Optimal asset allocation in a stochastic factor model – an overview and open problems 427