A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS (Q3523596)
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scientific article; zbMATH DE number 5320145
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| English | A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS |
scientific article; zbMATH DE number 5320145 |
Statements
A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS (English)
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3 September 2008
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Merton's problem
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optimal portfolio and consumption
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Lévy processes
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normal inverse Gaussian distribution
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heavy tails
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Hamilton--Jacobi--Bellman equation
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integro-differential equation
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viscosity solution
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closed form solution
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0.7894783020019531
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0.781268298625946
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0.7760046124458313
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0.7687042355537415
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0.7636874318122864
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