An analytical solution for the HJB equation arising from the Merton problem
Song-Ping Zhu and Guiyuan Ma
| Year of publication: |
March 2018
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|---|---|
| Authors: | Zhu, Song-Ping ; Ma, Guiyuan |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 1, p. 1-26
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| Subject: | Optimal portfolio selection | homotopy analysis method | Hamilton-Jacobi-Bellman equation | Merton problem | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786318500081 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011922966