A new type of CEV model: properties, comparison, and application to portfolio optimization

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models Pub Date : 2024-03-16 DOI:10.1080/15326349.2024.2327435

Marcos Escobar Anel, Wei Li Fan

引用次数: 0

Abstract

This article proposes and studies a new type of constant elasticity of volatility (CEV) model, titled LVO-CEV, where the name indicates that the excess return is linear in the volatility. The model...

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新型 CEV 模型：特性、比较及在投资组合优化中的应用

本文提出并研究了一种新型波动率恒定弹性（CEV）模型，名为 LVO-CEV，其名称表明超额收益与波动率呈线性关系。该模型...

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来源期刊

Stochastic Models 数学-统计学与概率论

CiteScore

1.30

自引率

14.30%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.