Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
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- Belkacem Berdjane & Sergei Pergamenshchikov, 2012. "Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters," Working Papers hal-00743164, HAL.
References listed on IDEAS
- Hernández-Hernández Daniel & Schied Alexander, 2006. "Robust utility maximization in a stochastic factor model," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-17, July.
- Hernández-Hernández Daniel & Schied Alexander, 2006. "Robust utility maximization in a stochastic factor model," Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 109-125, July.
- {L}ukasz Delong & Claudia Kluppelberg, 2008. "Optimal investment and consumption in a Black--Scholes market with L\'evy-driven stochastic coefficients," Papers 0806.2570, arXiv.org.
- Thaleia Zariphopoulou, 2001. "A solution approach to valuation with unhedgeable risks," Finance and Stochastics, Springer, vol. 5(1), pages 61-82.
- Belkacem Berdjane & Serguei Pergamenshchikov, 2013. "Optimal consumption and investment for markets with random coefficients," Finance and Stochastics, Springer, vol. 17(2), pages 419-446, April.
- Hernández-Hernández, Daniel & Schied, Alexander, 2005. "Robust utility maximization in a stochastic factor model," SFB 649 Discussion Papers 2006-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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