Chiarella, Carl; Hsiao, Chih-Ying - Finance Discipline Group, Business School - 2010
This paper studies the impact of stochastic volatility (SV) on optimal investment decisions. We consider three different SV models: an extended Stein/Stein model, the Heston Model and an extended Heston Model with a constant elasticity variance (CEV) process and derive the the long-term optimal...