Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. - In: Insurance: Mathematics and Economics 49 (2011) 2, pp. 194-206
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. Given the rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the...