{"id":"W4402772497","doi":"10.2139/ssrn.4927476","title":"Incomplete Market Analysis of Optimal Consumption and Robust Portfolio for the 4/2 Stochastic Volatility Model","year":2024,"lang":"en","type":"preprint","venue":"SSRN Electronic Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":false,"ca_institutions":"Canadian Imperial Bank of Commerce (Canada); Western University","funders":"","keywords":"Portfolio; Volatility (finance); Economics; Econometrics; Stochastic volatility; Consumption (sociology); Portfolio optimization; Financial economics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.003559333,0.001309947,0.002463737,0.001349596,0.0004883073,0.002813003,0.002119593,0.002551769,0.007050851],"category_scores_gemma":[0.01067994,0.001284122,0.001652307,0.0009037257,0.002254332,0.004557645,0.001681119,0.002347718,0.000344222],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.002555466,"about_ca_system_score_gemma":0.002229835,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.009725113,"about_ca_topic_score_gemma":0.004946951,"domain_scores_codex":[0.9992903,0.0003217916,0.00003410435,0.000115617,0.0001202588,0.0001178301],"domain_scores_gemma":[0.9966113,0.0018848,0.0006505337,0.0001936129,0.00033907,0.0003206649],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0000913961,0.0000590325,0.0006884445,0.00008968262,0.0001070704,0.0001983381,0.00009354421,0.4241584,0.0009161457,0.5690229,0.00176313,0.002811945],"study_design_scores_gemma":[0.0000178069,0.00001350234,0.0002918464,0.0000077909,0.00001430582,0.00001879041,0.00001521878,0.8823666,0.00006800346,0.1169645,0.0002043345,0.00001722829],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.3223759,0.002579242,0.645062,0.00532029,0.0002106186,0.0001033717,0.0007580016,0.0002768529,0.02331366],"genre_scores_gemma":[0.9510242,0.001095228,0.0215796,0.0003045246,0.0002268548,0.0001163595,0.0004913429,0.0002099465,0.02495197],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.009725113,"threshold_uncertainty_score":0.02358741,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03800778137398961,"score_gpt":0.2565283325660241,"score_spread":0.2185205511920345,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}