Utility maximization in affine stochastic volatility models

@inproceedings{Kallsen2009UtilityMI,
title={Utility maximization in affine stochastic volatility models},
author={Jan Kallsen and Johannes Muhle-Karbe},
year={2009}
}

We consider the classical problem of maximizing expected utility from terminal wealth. With the help of a martingale criterion explicit solutions are derived for power utility in a number of affine stochastic volatility models.