Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models
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DOI: 10.1016/j.amc.2021.126836
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- Matt Davison & Marcos Escobar-Anel & Yichen Zhu, 2022. "Optimal market completion through financial derivatives with applications to volatility risk," Papers 2202.08148, arXiv.org.
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Keywords
Dynamic programming; Quadratic-affine processes; Expected utility; Portfolio optimization; 4/2 stochastic volatility;All these keywords.
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