Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models
This manuscript derives optimal consumption and investment strategies for risk-averse investors under the 4/2 stochastic volatility class of models. We work under an expected utility (EUT) framework and consider a Constant Relative Risk Aversion (CRRA) investor, who may also be ambiguity-averse. The...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-09-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/18/4020 |