Utility Maximization in Multivariate Volterra Models

  title={Utility Maximization in Multivariate Volterra Models},
  author={Florian Aichinger and Sascha Desmettre},
  journal={SIAM Journal on Financial Mathematics},
. This paper is concerned with portfolio selection for an investor with power utility in multi-asset financial markets in a rough stochastic environment. We investigate Merton’s portfolio problem for different multivariate Volterra models, covering the rough Heston model. First we consider a class of multivariate affine Volterra models introduced in [E. Abi Jaber et al., SIAM J. Financial Math., 12, 369–409, (2021)]. Based on the classical Wishart model described in [N. B¨auerle and Li, Z., J. Appl… 

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