Optimal Portfolio under Fractional Stochastic Environment


Rough stochastic volatility models have attracted lots of attention recently. In this paper, for power-type utilities, we propose to use martingale distortion transformations for the optimal value of asset allocation... [ view full abstract ]


  1. Jean-Pierre Fouque (University of California, Santa Barbara)
  2. Ruimeng Hu (University of California, Santa Barbara)

Topic Areas

Asymptotics , Optimal Investment , Stochastic Volatility


WE-A-B2 » Stochastic Volatility 2 (11:30 - Wednesday, 18th July, Beckett 2)

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