Merton’s Portfolio Optimization Problem in a Black & Scholes Market with Non-gaussian Stochastic Volatility of Ornstein-uhlenbeck Type

@inproceedings{Karlsen2001MertonsPO,
  title={Merton’s Portfolio Optimization Problem in a Black & Scholes Market with Non-gaussian Stochastic Volatility of Ornstein-uhlenbeck Type},
  author={Kenneth Hvistendahl Karlsen and Kristin Reikvam},
  year={2001}
}
Abstract. We study Merton’s classical portfolio optimization problem for an investor who can trade in a risk-free bond and a stock. The goal of the investor is to allocate money so that her expected utility from terminal wealth is maximized. The special feature of the problem studied in this paper is the inclusion of stochastic volatility in the dynamics of the risky asset. The model we use is driven by a superposition of non-Gaussian OrnsteinUhlenbeck processes and it was recently proposed and… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 36 references

ξ-radial processes and random Fourier series, Mem

  • M B.
  • pean Finance Review
  • 1987
Highly Influential
8 Excerpts

Stochastic Control of Partially Observable Systems

  • A Bensoussan
  • 1992
Highly Influential
8 Excerpts

Optimal replication of contingent claims under transaction costs

  • S. Watanabe
  • Rev . Future Markets
  • 1989
Highly Influential
3 Excerpts

European option pri ing with transa tion osts

  • M. H. A. Davis, V. G. Panas, T. Zariphopoulou
  • SIAM J . Control Optim .
  • 1993
Highly Influential
1 Excerpt

Optimal repli ation of ontingent laims under transa tion osts

  • A. Neuberger
  • Rev . FutureMarkets
  • 1989
Highly Influential
1 Excerpt

Reikvam (2002a): On a utility maximization problem in a nonGaussian Ornstein-Uhlenbeck stochastic volatility market Manuscript in preparation

  • F. E. Benth, K. H. Karlsen
  • 2002

Reikvam (2002b), Pricing of European options in a non-Gaussian

  • F. E. 39 Benth, K. H. Karlsen
  • 2002

Optimal consumption and portfolio in a jump diffu

  • A. Shiryaev
  • Workshop on Mathematical Finance,
  • 2001

Optimal portfolio in partially observed stochastic volatility models, Ann

  • H. Pham, M.-C
  • Quenez
  • 2001

Similar Papers

Loading similar papers…