This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance 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...

This paper studies a discrete-time portfolio optimization problem, wherein the underlying risky asset follows a Lévy GARCH model. Besides a Gaussian noise, the framework allows for various jump increments, including infinite-activity jumps. Using a dynamic programming approach and exploiting...

This paper introduces a class of multivariate GARCH models with sufficient flexibility to allow for pricing kernels dependent on variances and correlation. This extends the existing literature by explicitly modeling correlation dependent pricing kernels. A large subclass admits closed-form...