Optimal portfolios and Heston's stochastic volatility model: An explicit solution for power utility

Quantitative Finance

Volumn 5, Issue 3, 2005, Pages 303-313

  Kraft, Holger ^a,b  

^a Rheinland Pfälzische Technische Universität Kaiserslautern Landau   (Germany)

^b FRAUNHOFER INSTITUTE FOR INDUSTRIAL MATHEMATICS ITWM   (Germany)

Author keywords

Heston model; Optimal portfolios; Stochastic volatility

Indexed keywords

EID: 24944436420     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1080/14697680500149503     Document Type: Conference Paper

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