UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS

Jan Kallsen () and Johannes Muhle-Karbe ()
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Jan Kallsen: Mathematisches Seminar, Christian-Albrechts-Universität zu Kiel, Westring 383, 24118 Kiel, Germany
Johannes Muhle-Karbe: Fakultät für Mathematik, Universität Wien, Nordbergstraße 15, 1090 Wien, Austria

International Journal of Theoretical and Applied Finance (IJTAF), 2010, vol. 13, issue 03, pages 459-477

Abstract: 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.

Keywords: Portfolio optimization; stochastic volatility; martingale method (search for similar items in EconPapers)
Date: 2010
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