UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS

DOI10.1142/S0219024910005851zbMATH Open1198.91192arXiv0911.3608MaRDI QIDQ3580219

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Publication date: 11 August 2010

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Abstract: We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor process.

Full work available at URL: https://arxiv.org/abs/0911.3608

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