Utility maximization in affine stochastic volatility models
Year of publication: |
2010
|
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Authors: | Kallsen, Jan ; Muhle-Karbe, Johannes |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 13.2010, 3, p. 459-477
|
Subject: | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Martingal | Martingale | Theorie | Theory | Stochastische Volatilität | Stochastic volatility |
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