scientific article; zbMATH DE number 5055325

MaRDI QIDQ5487547zbMATH OpenFDO

Authors B. V. Bondarev, S. Yu. Ragulina

Publication date 19 September 2006

zbMATH Keywords

Wiener processportfoliodiffusiongeometric Brownian motionoptimal control

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16)

Recommendations

• On \(\epsilon\)-sufficient control in the Merton problem.
• scientific article; zbMATH DE number 7055866
• An ε-Optimal Portfolio with Stochastic Volatility
• Epsilon-dominating solutions in mean-variance portfolio analysis
• Stability of Merton's portfolio optimization problem for Lévy models
• On a free boundary problem that arises in portfolio management
• scientific article; zbMATH DE number 912568
• Resolution of degeneracy in Merton's portfolio problem
• The optimal portfolio problem with coherent risk measure constraints.

Cited in

(6)

• scientific article; zbMATH DE number 1408706 (Why is no real title available?)
• scientific article; zbMATH DE number 1408889 (Why is no real title available?)
• On \(\epsilon\)-sufficient control in the Merton problem.
• On the \(\varepsilon\)-sufficient control in a Merton problem with ``physical white noise
• An ε-Optimal Portfolio with Stochastic Volatility
• Merton's optimal investment problem with jump signals

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5487547)