Pages that link to "Item:Q5711169"

The following pages link to Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (Q5711169):

Displayed 8 items.

• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (Q413330) ‎ (← links)
• Utility maximization in models with conditionally independent increments (Q614120) ‎ (← links)
• Horizon dependence of utility optimizers in incomplete models (Q693036) ‎ (← links)
• The opportunity process for optimal consumption and investment with power utility (Q1932536) ‎ (← links)
• Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility (Q3077479) ‎ (← links)
• HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994) ‎ (← links)
• CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES (Q3393970) ‎ (← links)
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) ‎ (← links)