Optimal asset allocation in a stochastic factor model-an overview and open problems

@inproceedings{Zariphopoulou2009OptimalAA,
  title={Optimal asset allocation in a stochastic factor model-an overview and open problems},
  author={Thaleia Zariphopoulou},
  year={2009}
}
This paper provides an overview of the optimal investment problem in a market in which the dynamics of the risky security are a¤ected by a correlated stochastic factor. The performance of investment strategies is measured using two criteria. The …rst criterion is the traditional one, formulated in terms of expected utility from terminal wealth while the… CONTINUE READING