{"paper":{"title":"Utility maximization in multivariate Volterra models","license":"http://creativecommons.org/publicdomain/zero/1.0/","headline":"","cross_cats":["math.OC"],"primary_cat":"math.PR","authors_text":"Florian Aichinger, Sascha Desmettre","submitted_at":"2021-11-03T13:00:25Z","abstract_excerpt":"This paper is concerned with portfolio selection for an investor with power utility in multi-asset financial markets in a rough stochastic environment. We investigate Merton's portfolio problem for different multivariate Volterra models, covering the rough Heston model. First we consider a class of multivariate affine Volterra models introduced in [E. Abi Jaber et al., SIAM J. Financial Math., 12, 369-409, (2021)]. Based on the classical Wishart model described in [N. B\\\"auerle and Li, Z., J. Appl. Probab., 50, 1025-1043 (2013)], we then introduce a new matrix-valued stochastic volatility mode"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2111.02191","kind":"arxiv","version":4},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2111.02191/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}