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Latest revision as of 10:24, 20 June 2024

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Optimal consumption and portfolio policies when asset prices follow a diffusion process
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    Optimal consumption and portfolio policies when asset prices follow a diffusion process (English)
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    1989
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    consumption-portfolio problem
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    continuous time
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    uncertainty
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    martingale technique
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    linear partial differential equation
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    hyperbolic absolute risk aversion utility functions
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    geometric Brownian motion
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    continuous-time
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