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

DOI10.1007/BF00940843MaRDI QIDQ1101320zbMATH OpenFDO

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

Publication date 1989

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

Full work available at URL https://doi.org/10.1007/BF00940843

zbMATH Keywords

bilinear stochastic differential equationportfolio selection and consumption modelrate of convergencerecursive parameter estimatorrisky assetunknown average return rate

Mathematics Subject Classification ID

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

Review text

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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Cites work

• Adaptive control of a continuous time portfolio and consumption model
• Adaptive Control with a Compact Parameter Set
• Convergence and rate of convergence of a recursive identification and adaptive control method which uses truncated estimators
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Optimum consumption and portfolio rules in a continuous-time model

Cited in

(2)

• Identification and control in the partially known Merton portfolio selection model
• scientific article; zbMATH DE number 4145618 (Why is no real title available?)

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