We consider an asymptotic robust growth problem under the presence of stochastic volatility. As in [Kardaras & Robertson, 2021] we fix two inputs representing the instantaneous covariation and invariant density for the asset process X, but additionally allow these quantities to depend on a stochastic factor process Y. Under suitable technical assumptions we are able to show that the robust growth optimal strategy is functionally generated and, unexpectedly, does not depend on the factor process Y. A combination of PDE and generalized Dirichlet form techniques are used to prove the result. I will give two financial interpretations for this result and consider some examples.
This talk is based on ongoing joint work with Benedikt Koch, Martin Larsson and Josef Teichmann.