Rate of convergence for an estimator in a portfolio and consumption model (Q1101320)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rate of convergence for an estimator in a portfolio and consumption model |
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Rate of convergence for an estimator in a portfolio and consumption model (English)
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1989
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The rate of convergence in a sample path sense is given for a stronlgy consistent, recursive estimator. This estimator is for the unknown average return rate of the risky asset that is a parameter in a bilinear stochastic differential equation for the wealth in a portfolio selection and consumption model.
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recursive parameter estimator
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rate of convergence
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unknown average return rate
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risky asset
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bilinear stochastic differential equation
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portfolio selection and consumption model
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