Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
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Publication:4409028
DOI10.1111/1467-9965.00015zbMATH Open1049.91060OpenAlexW2032727311MaRDI QIDQ4409028FDOQ4409028
Kristin Reikvam, Kenneth H. Karlsen, Fred Espen Benth
Publication date: 25 August 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00015
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Cited In (30)
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
- A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
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- Optimal strategies for asset allocation and consumption under stochastic volatility
- Optimal portfolio, partial information and Malliavin calculus
- Portfolio optimization and a factor model in a stochastic volatility market
- Stability of Merton's portfolio optimization problem for Lévy models
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
- Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type
- Convergence in multiscale financial models with non-Gaussian stochastic volatility
- Utility maximization in models with conditionally independent increments
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
- Mean–variance portfolio selection based on a generalized BNS stochastic volatility model
- Resolution of Degeneracy in Merton's Portfolio Problem
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- Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
- HARA frontiers of optimal portfolios in stochastic markets
- The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity
- Calculations of greeks for jump diffusion processes
- UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
- Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing
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- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Optimal investment and risk control for an insurer with stochastic factor
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