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Optimal Portfolio in Partially Observed Stochastic Volatility Models

✍ Scribed by Pham, Huy\^en; Quenez, Marie-Claire

Book ID
118070727
Publisher
Institute of Mathematical Statistics
Year
2001
Tongue
English
Weight
35 KB
Volume
11
Category
Article
ISSN
1050-5164

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πŸ“œ SIMILAR VOLUMES

Optimal portfolio choice and stochastic
Optimal portfolio choice and stochastic volatility
✍ Anne Gron; BjΓΈrn N. JΓΈrgensen; Nicholas G. Polson πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 647 KB

## Abstract In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both partial and general equilibrium settings. In a partial equilibrium setting we derive an analog of the classic Samuelson–Merton optimal portfolio result and define volatility‐adjusted risk av