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Revision as of 12:07, 11 February 2024
scientific article
| Language | Label | Description | Also known as |
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| English | A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS |
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A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS (English)
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3 September 2008
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Merton's problem
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optimal portfolio and consumption
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Lévy processes
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normal inverse Gaussian distribution
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heavy tails
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Hamilton--Jacobi--Bellman equation
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integro-differential equation
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viscosity solution
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closed form solution
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