Date of Award
2022
Document Type
Dissertation
Publication Status
Version of Record
Submission Date
October 2026
Thesis/Dissertation Advisor [Chair]
Long, Hongwei
Abstract
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.
Extent
193 p.
Recommended Citation
Zephirin, Duval, "OPTIMAL PORTFOLIO FOR THE INFORMED INVESTOR IN MISPRICED LEVY MARKET WITH STOCHASTIC VOLATILITY AND POWER UTILITY" (2022). Electronic Theses and Dissertations 2020 - Present. 1001.
https://digitalcommons.fau.edu/etd_general/1001
Identifier
FA00014040
Comments
Includes bibliography.|Dissertation (Ph.D.)--Florida Atlantic University, 2022.|FAU Electronic Theses and Dissertations Collection|Includes bibliography.