On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk (Q538323): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 49L20 / rank | |||
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| Property / zbMATH DE Number: 5899521 / rank | |||
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optimal portfolios | |||
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Hamilton-Jacobi-Bellman equation | |||
| Property / zbMATH Keywords: Hamilton-Jacobi-Bellman equation / rank | |||
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stochastic market price of risk | |||
| Property / zbMATH Keywords: stochastic market price of risk / rank | |||
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verification theorem | |||
| Property / zbMATH Keywords: verification theorem / rank | |||
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Revision as of 09:35, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk |
scientific article |
Statements
On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk (English)
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25 May 2011
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optimal portfolios
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Hamilton-Jacobi-Bellman equation
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stochastic market price of risk
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verification theorem
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