UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS

被引：32

作者：

Kallsen, Jan ^{[1
]}

Muhle-Karbe, Johannes ^{[2
]}

机构：

[1] Christian Albrechts Univ Kiel, Math Seminar, Westring 383, D-24118 Kiel, Germany

[2] Univ Wien, Fak Math, A-1090 Vienna, Austria

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2010年 / 13卷 / 03期

关键词：

Portfolio optimization; stochastic volatility; martingale method;

D O I：

10.1142/S0219024910005851

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：459 / 477

页数：19

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