Optimal strategies for a long-term static investor

Lingjiong Zhu

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)300-318
Number of pages19
JournalStochastic Models
Issue number3
StatePublished - Jul 3 2014

Bibliographical note

Funding Information:
The author is supported by NSF grant DMS-0904701, DARPA grant, and MacCracken Fellowship at New York University.


  • 3/2 model
  • Heston model
  • Jump diffusion
  • Long-term growth rate
  • Optimal strategies
  • Vasicek model


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