Preprint
Sep 2026
Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks
We study the infinite-horizon optimal investment and consumption problem in a general class of continuous financial markets, where uncertainty is driven by a continuous non-decreasing stochastic clock representing accumulated variance. This framework encompasses classical Markovian and non-Markovian stochastic volatili...
E. A. Jaber, Florian Gutekunst, Martin Herdegen et al.
· 0 citations