Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type

By Fred Espen Benth, Kenneth Hvistendahl Karlsen, Kristin Reikvam. 2003

69 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d176b4ac504faae4d5e6e8b2fed1cbbb71363918

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

1. Johannes Muhle‐Karbe
2. Jan Kallsen

In Finance

1. Johannes Muhle‐Karbe
2. Jan Kallsen
3. Peter Tankov
4. Walter Schachermayer
5. Fred Espen Benth
6. Ernst Eberlein
7. Thomas Goll
8. Ole E. Barndorff-Nielsen

Citations in the corpus

• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, methodology): “We thank an anonymous referee for careful reading of the paper.”
• On using shadow prices in portfolio optimization with transaction costs (2010, background): “e.g. [ 3 , 11] for Levy processes and [2, 24] for stochastic volatility models).”