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- Title:
Utility maximization in affine stochastic volatility models
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Muhle-Karbe, J., Kallsen, J.
- Non-TUM Co-author(s):
- nein
- Cooperation:
- -
- Abstract:
- We consider the classical problem of maximizing expected utility from terminal wealth. With the help of a martingale criterion explicit solutions are derived for power utility in a number of affine stochastic volatility models.
- Intellectual Contribution:
- Discipline-based Research
- Journal title:
- The International Journal of Theoretical and Applied Finance
- Year:
- 2008
- Journal volume:
- 13
- Journal issue:
- 3
- Pages contribution:
- 459-477
- Language:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- Commissioned:
- not commissioned
- Professional Journal:
- Nein
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