scientific article; zbMATH DE number 1795914
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Publication:4550987
This paper considers the extension of the Black-Scholes model when the coefficients of the volatility equation are random variables. The paper shows the existence of an optimum portfolio, in the sense of expected utility maximization, where the instantaneous utility exhibits constant relative risk aversion. Calculating such an optimum portfolio presents significant challenges. For the entire collection see [Zbl 0987.00062].
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