Optimal consumption and portfolio policies when asset prices follow a diffusion process (Q1124508): Difference between revisions
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Revision as of 20:15, 19 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 |
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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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