A stochastic volatility model and optimal portfolio selection
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.
Year of publication: |
2013
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Authors: | Zeng, Xudong ; Taksar, Michael |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 13.2013, 10, p. 1547-1558
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Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
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