Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks

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Highly relevant for quantitative researchers and practitioners dealing with rough volatility models (e.g., Volterra Heston). It provides a rigorous theoretical foundation for optimal portfolio allocation in these complex, non-Markovian environments, which are increasingly popular for their empirical fit to option prices.

Very high complexity. Requires deep understanding of infinite-horizon BSDEs, Malliavin calculus, and stochastic Volterra equations. Implementing the numerical schemes for the Volterra Heston model with singular kernels is non-trivial.

The paper provides rigorous mathematical proofs and explicit parameter settings for numerical illustrations (Table 5.1). However, it is primarily a theoretical paper; reproducing the full analytical results requires advanced knowledge of stochastic calculus and BSDE theory. No code repository is explicitly linked in the text provided.