# Utility Maximization in Multivariate Volterra Models

@article{Aichinger2021UtilityMI, title={Utility Maximization in Multivariate Volterra Models}, author={Florian Aichinger and Sascha Desmettre}, journal={SIAM Journal on Financial Mathematics}, year={2021} }

. 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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