We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the 'implied Sharpe...

The Taliban's takeover of Afghanistan in August 2021 is associated with a rapid collapse of the Afghan economy. In lieu of official data, attempts to measure the scale of the collapse have relied on rapid surveys of the population. We validate these qualitative measures by using nightlights as a...

Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varying volatility. The recent book Fouque, Papanicolaou, Sircar and S{\o}lna (2011, CUP) analyzes models in which the...