A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model (Q5312729)
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scientific article; zbMATH DE number 2198819
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model |
scientific article; zbMATH DE number 2198819 |
Statements
A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model (English)
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25 August 2005
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Cole-Hopf transform
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dynamic programming
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Hamilton-Jacobi-Bellman equation
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mean-reversion
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portfolio optimization
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verification theorem
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