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- W2000752000 abstract "The optimal strategies for a long-term static investor are studied. Given a portfolio of a stock and a bond, we derive the optimal allocation of the capitals to maximize the expected long-term growth rate of a utility function of the wealth. When the bond has a constant interest rate, three models for the underlying stock price processes are studied: Heston model, 3/2 model, and jump diffusion model. We also study the optimal strategies for a portfolio in which the stock price process follows a Black-Scholes model and the bond process has a Vasicek interest rate that is correlated to the stock price." @default.
- W2000752000 created "2016-06-24" @default.
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- W2000752000 date "2014-07-03" @default.
- W2000752000 modified "2023-10-16" @default.
- W2000752000 title "Optimal Strategies for a Long-Term Static Investor" @default.
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- W2000752000 doi "https://doi.org/10.1080/15326349.2014.929504" @default.
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