A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model

DOI10.1081/SAP-200064457zbMath1074.60068MaRDI QIDQ5312729

Fred Espen Benth, Kenneth Hvistendahl Karlsen

Publication date: 25 August 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingportfolio optimizationmean-reversionverification theoremCole-Hopf transform

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

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Cites Work

• Unnamed Item
• Optimal investment and consumption models with non-linear stock dynamics
• Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
• An example of indifference prices under exponential preferences
• THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS

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