Optimal investment under multi-factor stochastic volatility
研究了多因子随机协方差矩阵下的跨期投资组合选择，推导出最优策略的闭式解，并用S&P500和DAX指数验证模型，发现短视投资等次优策略会导致显著福利损失。
We consider a model for multivariate intertemporal portfolio choice in complete and incomplete markets with a multi-factor stochastic covariance matrix of asset returns. The optimal investment strategies are derived in closed form. We estimate the model parameters and illustrate the optimal investment based on two stock indices: S&P500 and DAX. It is also shown that the model satisfies several stylized facts well known in the literature. We analyse the welfare losses due to suboptimal investment strategies and we find that investors who invest myopically, ignore derivative assets, model volatility by one factor and ignore stochastic covariance between asset returns can incur significant welfare losses.