Optimal investment and consumption models with non-linear stock dynamics
Year of publication: |
1999
|
---|---|
Authors: | Zariphopoulou, Thaleia |
Published in: |
Mathematical Methods of Operations Research. - Springer. - Vol. 50.1999, 2, p. 271-296
|
Publisher: |
Springer |
Subject: | Portfolio management | Hamilton-Jacobi-Bellman equation | closed form solutions | constrained viscosity solutions |
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