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
收藏
页码：459 / 477
页数：19
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