Pages that link to "Item:Q3580219"

The following pages link to UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219):

Displaying 28 items.

• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
• Utility maximization in models with conditionally independent increments (Q614120) (← links)
• Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
• Optimal portfolios when variances and covariances can jump (Q1655780) (← links)
• The opportunity process for optimal consumption and investment with power utility (Q1932536) (← links)
• Mean-field anticipated BSDEs driven by time-changed Lévy noises (Q2144088) (← links)
• Dynamic asset allocation with relative wealth concerns in incomplete markets (Q2181530) (← links)
• Numerical solutions to optimal portfolio selection and consumption strategies under stochastic volatility (Q2205342) (← links)
• Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics (Q2230762) (← links)
• Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
• Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
• Consumption-investment problem with pathwise ambiguity under logarithmic utility (Q2323332) (← links)
• Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework (Q2338463) (← links)
• The Bellman equation for power utility maximization with semimartingales (Q2428054) (← links)
• BSDEs driven by time-changed Lévy noises and optimal control (Q2436795) (← links)
• Nash equilibria for relative investors via no-arbitrage arguments (Q2699026) (← links)
• A stochastic volatility model and optimal portfolio selection (Q2871407) (← links)
• PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
• When do jumps matter for portfolio optimization? (Q4554219) (← links)
• HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
• ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES (Q4635032) (← links)
• On the investment strategies in occupational pension plans (Q5079380) (← links)
• Portfolio Optimization in Fractional and Rough Heston Models (Q5112724) (← links)
• Optimal Portfolios for Financial Markets with Wishart Volatility (Q5407025) (← links)
• Utility Maximization in Multivariate Volterra Models (Q5886358) (← links)
• Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models (Q6063623) (← links)
• Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach (Q6098178) (← links)
• Optimal investment and consumption for financial markets with jumps under transaction costs (Q6181518) (← links)