A stochastic volatility model and optimal portfolio selection (Q2871407): Difference between revisions

@@ Property / author @@
-Michael I. Taksar
@@ Property / author: Michael I. Taksar / rank @@
-Normal rank
@@ Property / author @@
+Michael I. Taksar
@@ Property / author: Michael I. Taksar / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2012.740568
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@@ Property / OpenAlex ID @@
+W3121733529
@@ Property / OpenAlex ID: W3121733529 / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment strategies in a CIR framework
@@ Property / cites work: Optimal investment strategies in a CIR framework / rank @@
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+An optimal consumption model with stochastic volatility
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+Optimal portfolio choice and stochastic volatility
+Normal rank
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+ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
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+Explicit solutions to an optimal portfolio choice problem with stochastic income
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+UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
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+ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
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+Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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+An example of indifference prices under exponential preferences
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+Explicit solutions of some utility maximization problems in incomplete markets
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+A solution approach to valuation with unhedgeable risks
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