uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null …

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 …