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OPTIMAL PORTFOLIO FOR THE INFORMED INVESTOR IN MISPRICED LEVY MARKET WITH STOCHASTIC VOLATILITY AND POWER UTILITY
| Title: | OPTIMAL PORTFOLIO FOR THE INFORMED INVESTOR IN MISPRICED LEVY MARKET WITH STOCHASTIC VOLATILITY AND POWER UTILITY. |
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| Name(s): |
Zephirin, Duval , author Long, Hongwei , Thesis advisor Florida Atlantic University, Degree grantor Department of Mathematical Sciences Charles E. Schmidt College of Science |
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| Type of Resource: | text | |
| Genre: | Electronic Thesis Or Dissertation | |
| Date Created: | 2022 | |
| Date Issued: | 2022 | |
| Publisher: | Florida Atlantic University | |
| Place of Publication: | Boca Raton, Fla. | |
| Physical Form: | application/pdf | |
| Extent: | 193 p. | |
| Language(s): | English | |
| Abstract/Description: | We consider a portfolio optimization problem in stochastic volatility jump-diffusion model. The model is a mispriced Lévy market that contains informed and uninformed investors. Contrarily to the uninformed investor, the informed investor knows that a mispricing exists in the market. The stock price follows a jump-diffusion process, the mispricing and volatility are modelled by Ornstein-Uhlenbeck (O-U) process and Cox-Ingersoll-Ross (CIR) process, respectively. We only present results for the informed investor whose goal is to maximize utility from terminal wealth over a finite investment horizon under the power utility function. We employ methods of stochastic calculus namely Hamilton-Jacobi-Bellman equation, instantaneous centralized moments of returns and three-level Crank-Nicolson method. We solve numerically the partial differential equation associated with the optimal portfolio. Under the power utility function, analogous results to those obtain in the jump-diffusion model under logarithmic utility function and deterministic volatility are obtained. | |
| Identifier: | FA00014040 (IID) | |
| Degree granted: | Dissertation (Ph.D.)--Florida Atlantic University, 2022. | |
| Collection: | FAU Electronic Theses and Dissertations Collection | |
| Note(s): | Includes bibliography. | |
| Subject(s): |
Investments Portfolio Lévy processes Utility functions |
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| Persistent Link to This Record: | http://purl.flvc.org/fau/fd/FA00014040 | |
| Use and Reproduction: | Copyright © is held by the author with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder. | |
| Host Institution: | FAU | |
| Is Part of Series: | Florida Atlantic University Digital Library Collections. |
