UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS

We consider the classical problem of maximizing expected utility from terminal wealth. With the help of a martingale criterion explicit solutions are derived for power utility in a number of affine stochastic volatility models.

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Year of publication:	2010
Authors:	KALLSEN, JAN ; MUHLE-KARBE, JOHANNES
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 03, p. 459-477
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Portfolio optimization \| stochastic volatility \| martingale method

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008494377