UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
By Jan Kallsen, Johannes Muhle‐Karbe. 2010
60 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7132f3015c560e3143a7eadebfd49b7b1f5808e4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
In Finance
- Johannes Muhle‐Karbe
- Jan Kallsen
- Peter Tankov
- Walter Schachermayer
- Fred Espen Benth
- Ernst Eberlein
- Thomas Goll
- Ole E. Barndorff-Nielsen
Citations in the corpus
- A stochastic volatility model and optimal portfolio selection (2013, unknown): “It should be mentioned that with the help of a martingale criterion, Kallsen and Muhle-Jarbe (2010) derive explicit solutions for power utilities in a number of affine stochastic volatility models.”
- On using shadow prices in portfolio optimization with transaction costs (2010, background): “e.g. [19] for Levy processes and [ 21 ] for stochastic volatility models) and in general structural results (cf.”