Escobar, Marcos; Fan, Weili - In: Risks : open access journal 11 (2023) 2, pp. 1-34
optimization. The diffusion model combines (stochastic) elasticity of volatility (EV) and stochastic volatility (SV) to create the … within expected utility theory (EUT) for incomplete markets, producing closed-form representations for the optimal strategy … reverts to a GBM model, the volatility and speed of reversion of the EV have a strong impact on optimal allocations, and more …
