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  • Search: subject:"constrained viscosity solutions"
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Hamilton-Jacobi-Bellman equation 2 Portfolio management 2 closed form solutions 2 constrained viscosity solutions 2
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Undetermined 2
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Article 2
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Zariphopoulou, Thaleia 2
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Computational Statistics 1 Mathematical Methods of Operations Research 1
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RePEc 2
Showing 1 - 2 of 2
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Optimal investment and consumption models with non-linear stock dynamics
Zariphopoulou, Thaleia - In: Computational Statistics 50 (1999) 2, pp. 271-296
We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...
Persistent link: https://www.econbiz.de/10010847653
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Cover Image
Optimal investment and consumption models with non-linear stock dynamics
Zariphopoulou, Thaleia - In: Mathematical Methods of Operations Research 50 (1999) 2, pp. 271-296
We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...
Persistent link: https://www.econbiz.de/10010950074
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