Merton’s portfolio problem under Volterra Heston model
نویسندگان
چکیده
This paper investigates Merton’s portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has non-Markovian and non-semimartingale structure. By considering an auxiliary random process, we solve the optimization with martingale optimality principle. Optimal strategies for power exponential utilities are derived semi-closed form solutions depending on respective Riccati-Volterra equations. We numerically examine relationship between investment demand volatility roughness.
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2021
ISSN: ['1544-6131', '1544-6123']
DOI: https://doi.org/10.1016/j.frl.2020.101580