Optimal consumption and portfolio policies when asset prices follow a diffusion process (Q1124508)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 4112337
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal consumption and portfolio policies when asset prices follow a diffusion process |
scientific article; zbMATH DE number 4112337 |
Statements
Optimal consumption and portfolio policies when asset prices follow a diffusion process (English)
0 references
1989
0 references
consumption-portfolio problem
0 references
continuous time
0 references
uncertainty
0 references
martingale technique
0 references
linear partial differential equation
0 references
hyperbolic absolute risk aversion utility functions
0 references
geometric Brownian motion
0 references
continuous-time
0 references
0 references
0 references
0 references
0.8496450185775757
0 references
0.8467748165130615
0 references
0.8464755415916443
0 references
0.8411376476287842
0 references
0.8408617973327637
0 references
