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: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2023-09-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/11/18/4020 |