Portfolio problem for the \(\alpha\)-hypergeometric stochastic volatility model with consumption

DOI10.1016/j.jmaa.2024.128891MaRDI QIDQ6648741

João Pedro Boto, Fernanda Cipriano, Paulo H. Rocha

Publication date: 5 December 2024

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic volatilityutility functionFeynman-Kac representationportfolio problem

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) Hypergeometric functions (33C99)

Cites Work

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• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• A solution approach to valuation with unhedgeable risks

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