Showing math.OCShow all
3 papers · 1 filter
math.OC2026
On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models
Emmanuel Gnabeyeu
This paper is concerned with Merton's portfolio optimization problem in a Volterra stochastic environment described by a multivariate fake stationary Volterra--Heston model. Due to…
math.OC2026
Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
Sigui Brice Dro, Emmanuel Gnabeyeu
This paper is concerned with portfolio selection for an investor with exponential, power, and logarithmic utility in multi-asset financial markets allowing jumps. We investigate th…
math.OC2026
On the mean-variance problem through the lens of multivariate fake stationary affine Volterra dynamics
Emmanuel Gnabeyeu
We investigate the continuous-time Markowitz mean-variance portfolio selection problem within a multivariate class of fake stationary affine Volterra models. In this non-Markovian…