Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

DOI10.1080/14697680500149503zbMath1134.91438MaRDI QIDQ5711169

Holger Kraft

Publication date: 9 December 2005

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500149503

zbMATH Keywords

stochastic volatility; Heston model; optimal portfolios

Mathematics Subject Classification ID

91B70: Stochastic models in economics

91G10: Portfolio theory

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