The aim of this paper is to find optimal portfolio strategies for an n-stock extension of the stochastic volatility …

wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …

market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor … dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general … duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal …