Optimal consumption and portfolio policies when asset prices follow a diffusion process (Q1124508): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 03:17, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal consumption and portfolio policies when asset prices follow a diffusion process |
scientific article |
Statements
Optimal consumption and portfolio policies when asset prices follow a diffusion process (English)
0 references
1989
0 references
consumption-portfolio problem
0 references
continuous time
0 references
uncertainty
0 references
martingale technique
0 references
linear partial differential equation
0 references
hyperbolic absolute risk aversion utility functions
0 references
geometric Brownian motion
0 references
continuous-time
0 references
