Optimum portfolio diversification in a general continuous-time model

DOI10.1016/0304-4149(84)90163-7zbMath0541.60057OpenAlexW2050590804MaRDI QIDQ794344

Knut Kristian Aase

Publication date: 1984

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(84)90163-7

zbMATH Keywords

martingalesstochastic controlstochastic integralsportfolio selection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44)

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Cites Work

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