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A stochastic volatility model and optimal portfolio selection.
- Source :
- Quantitative Finance; Oct2013, Vol. 13 Issue 10, p1547-1558, 12p
- Publication Year :
- 2013
-
Abstract
- In this paper, first we study a stochastic volatility market model for which an explicit candidate solution to the problem of maximizing the utility function of terminal wealth is obtained. Applying this result, we present a complete solution for the Heston model, which is a particular case of the general model. A verification result and a martingale representation of the solution are provided for the Heston model. Finally, the same techniques are used to study a stochastic interest rate model and a necessary and sufficient condition for exploding growth is presented. [ABSTRACT FROM PUBLISHER]
- Subjects :
- STOCHASTIC analysis
MARKET volatility
UTILITY functions
INTEREST rates
SQUARE root
Subjects
Details
- Language :
- English
- ISSN :
- 14697688
- Volume :
- 13
- Issue :
- 10
- Database :
- Complementary Index
- Journal :
- Quantitative Finance
- Publication Type :
- Academic Journal
- Accession number :
- 90579403
- Full Text :
- https://doi.org/10.1080/14697688.2012.740568