Search results for: Sotheara Veng

2 Portfolio Optimization under a Hybrid Stochastic Volatility and Constant Elasticity of Variance Model

Authors: Jai Heui Kim, Sotheara Veng

Abstract:

This paper studies the portfolio optimization problem for a pension fund under a hybrid model of stochastic volatility and constant elasticity of variance (CEV) using asymptotic analysis method. When the volatility component is fast mean-reverting, it is able to derive asymptotic approximations for the value function and the optimal strategy for general utility functions. Explicit solutions are given for the exponential and hyperbolic absolute risk aversion (HARA) utility functions. The study also shows that using the leading order optimal strategy results in the value function, not only up to the leading order, but also up to first order correction term. A practical strategy that does not depend on the unobservable volatility level is suggested. The result is an extension of the Merton's solution when stochastic volatility and elasticity of variance are considered simultaneously.

Keywords: asymptotic analysis, constant elasticity of variance, portfolio optimization, stochastic optimal control, stochastic volatility

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1 Understanding Social Networks in Community's Coping Capacity with Floods: A Case Study of a Community in Cambodia

Authors: Ourn Vimoil, Kallaya Suntornvongsagul

Abstract:

Cambodia is considered as one of the most disaster prone countries in South East Asia, and most of natural disasters are related to floods. Cambodia, a developing country, faces significant impacts from floods, such as environmental, social, and economic losses. Using data accessed from focus group discussions and field surveys with villagers in Ba Baong commune, prey Veng province, Cambodia, the research would like to examine roles of social networks in raising community’s coping capacity with floods. The findings indicate that social capital play crucial roles in three stages of floods, namely preparedness, response, and recovery to overcome the crisis. People shared their information and resources, and extent their assistances to one another in order to adapt to floods. The study contribute to policy makers, national and international agencies working on this issue to pay attention on social networks as one factors to accelerate flood coping capacity at community level.

Keywords: social network, community, coping capacity, flood, Cambodia

Procedia PDF Downloads 336