Pages that link to "Item:Q3580219"
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The following pages link to UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219):
Displayed 14 items.
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
- Utility maximization in models with conditionally independent increments (Q614120) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- Optimal portfolios when variances and covariances can jump (Q1655780) (← links)
- The opportunity process for optimal consumption and investment with power utility (Q1932536) (← links)
- Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
- The Bellman equation for power utility maximization with semimartingales (Q2428054) (← links)
- BSDEs driven by time-changed Lévy noises and optimal control (Q2436795) (← links)
- A stochastic volatility model and optimal portfolio selection (Q2871407) (← links)
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
- When do jumps matter for portfolio optimization? (Q4554219) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES (Q4635032) (← links)
- Optimal Portfolios for Financial Markets with Wishart Volatility (Q5407025) (← links)