Rate of convergence for an estimator in a portfolio and consumption model

DOI10.1007/BF00940843zbMATH Open0642.90014MaRDI QIDQ1101320FDOQ1101320

Authors: T. E. Duncan, B. Pasik-Duncan 

Publication date: 1989

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

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zbMATH Keywords

rate of convergencerisky assetbilinear stochastic differential equationportfolio selection and consumption modelrecursive parameter estimatorunknown average return rate

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62) Optimal stochastic control (93E20)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Title not available (Why is that?)
• Adaptive Control with a Compact Parameter Set
• Adaptive control of a continuous time portfolio and consumption model
• Convergence and rate of convergence of a recursive identification and adaptive control method which uses truncated estimators

Cited In (2)

• Title not available (Why is that?)
• Identification and control in the partially known Merton portfolio selection model

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