Zhou, Guofu; Zhu, Yingzi - In: Journal of Financial and Quantitative Analysis 47 (2012) 02, pp. 273-307
We study an investor’s asset allocation problem with a recursive utility and with tradable volatility that follows a 2-factor stochastic volatility model. Consistent with previous findings under the additive utility, we show that the investor can benefit substantially from volatility trading...