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. 

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