Expected Utility Theory on General Affine GARCH Models

DOI10.1080/1350486X.2022.2101010zbMath1500.91122MaRDI QIDQ5041836

Ben Spies, Marcos Escobar Anel, Rudi Zagst

Publication date: 18 October 2022

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

expected utility theorydynamic portfolio optimizationaffine GARCH modelsnon-Gaussian innovationsIG-GARCH modelwealth-equivalent loss

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

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