Optimal Portfolios and Heston's Stochastic Volatility Model

Given an investor maximizing utility from terminal wealth with respect to a power utility function, we present a verification result for portfolio problems with stochastic volatility. Applying this result, we solve the portfolio problem for Heston's stochastic volatility model. We find that only under a specific condition on the model parameters the problem possesses a unique solution leading to a partial equilibrium

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Year of publication:	[2005]
Authors:	Kraft, Holger
Publisher:	[2005]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Quantitative Finance, Vol. 5, pp. 303-313, 2005 Volltext nicht verfügbar
Classification:	G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

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