Optimal consumption and investment in general affine GARCH models

DOI10.1007/S00291-024-00749-ZMaRDI QIDQ6617073

Marcos Escobar Anel, R. Zagst, Ben Spies

Publication date: 9 October 2024

Published in: OR Spectrum (Search for Journal in Brave)

zbMATH Keywords

expected utility theoryconsumptiondynamic portfolio optimizationaffine GARCH modelsIG-GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Utility theory (91B16) Portfolio theory (91G10)

Cites Work

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• Option valuation with conditional skewness
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• Kim and Omberg revisited: the duality approach
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• Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control
• A discrete-time hedging framework with multiple factors and fat tails: on what matters
• Stochastic Differential Utility
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• An Intertemporal Capital Asset Pricing Model
• Expected Utility Theory on General Affine GARCH Models
• 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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