Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13
follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to … maximize the expected utility from terminal wealth under a Heston and Nandi (2000) GARCH (HN-GARCH) model. Based on an … inferior performance of the Merton solution.The solution is extended to two dimensions under the multivariate affine GARCH in …