On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models

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 the non-Markovianity and non-semimartingality of the underlying processes, the classical stochastic control approach cannot be directly applied in this setting. Instead, the problem is tackled using a stochastic factor solution to a Riccati backward stochastic differential equation (BSDE). Our approach is inspired by the martingale optimality principle combined with a suitable verification argument. The resulting optimal strategies for Merton's problems are derived in semi-closed form depending on the solutions to time-dependent multivariate Riccati-Volterra equations. Numerical results on a two dimensional fake stationary rough Heston model illustrate the impact of stationary rough volatilities on the optimal Merton strategies.

Source: arXiv:2603.11046v1 - http://arxiv.org/abs/2603.11046v1 PDF: https://arxiv.org/pdf/2603.11046v1 Original Link: http://arxiv.org/abs/2603.11046v1