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mahmoodi
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Joined: March 8th, 2012, 6:33 am

portfolio...

October 15th, 2012, 11:36 am

Hello allCan anyone suggest me a good book or paper on history of "portfolio selection in stochastic market"?thanks.
 
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gamoon07
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Joined: October 21st, 2011, 3:47 am

portfolio...

October 24th, 2012, 3:15 pm

I'm not sure about a book or paper on the history, but have you read the paper "Portfolio Selection in Stochastic Environments"? The abstract is:In this article, I explicitly solve dynamic portfolio choice problems, up to the solutionof an ordinary differential equation (ODE), when the asset returns are quadratic andthe agent has a constant relative risk aversion (CRRA) coefficient. My solutionincludes as special cases many existing explicit solutions of dynamic portfolio choiceproblems. I also present three applications that are not in the literature. Application 1is the bond portfolio selection problem when bond returns are described by ??quadraticterm structure models.?? Application 2 is the stock portfolio selection problemwhen stock return volatility is stochastic as in Heston model. Application 3 is a bondand stock portfolio selection problem when the interest rate is stochastic and stockreturns display stochastic volatility. (JEL G11)It's by Jun Liu and was published in the Review of Financial Studies. Perhaps the references could also give you some guidance as well.
 
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mahmoodi
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Joined: March 8th, 2012, 6:33 am

portfolio...

October 24th, 2012, 4:47 pm

thanks.