Pages that link to "Item:Q5711169"
From MaRDI portal
The following pages link to Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (Q5711169):
Displayed 13 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)
- An investment and consumption problem with CIR interest rate and stochastic volatility (Q2015242) (← links)
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model (Q2015626) (← links)
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model (Q2444720) (← links)
- A stochastic volatility model and optimal portfolio selection (Q2871407) (← 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)
- Optimal Portfolios for Financial Markets with Wishart Volatility (Q5407025) (← links)