Stability of Merton's portfolio optimization problem for Lévy models (Q5410812)
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scientific article; zbMATH DE number 6286607
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stability of Merton's portfolio optimization problem for Lévy models |
scientific article; zbMATH DE number 6286607 |
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Stability of Merton's portfolio optimization problem for Lévy models (English)
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17 April 2014
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stochastic control
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portfolio optimization
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Lévy processes
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utility optimization
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integral equations
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approximations
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