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q-fin.PM2019★ 3 cited
Merton's portfolio problem under Volterra Heston model
Bingyan Han, Hoi Ying Wong
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale struct…
q-fin.PM2019★ 22 cited
Mean-variance portfolio selection under Volterra Heston model
Bingyan Han, Hoi Ying Wong
Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model. Due to…