A note on the integrability of the classical portfolio selection model

DOI10.1016/j.aml.2010.04.046zbMath1195.91147OpenAlexW2008108307MaRDI QIDQ988735

J. Martínez

Publication date: 18 August 2010

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2010.04.046

zbMATH Keywords

partial differential equationsLie symmetry analysisintegrability analysisMerton portfolio selection modelportfolio selection theory

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of Lie algebras and superalgebras to integrable systems (17B80) Symmetries, Lie group and Lie algebra methods for problems in mechanics (70G65) Portfolio theory (91G10)

Related Items (3)

Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility ⋮ Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions ⋮ Solving a nonlinear PDE that prices real options using utility based pricing methods

Cites Work

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• Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
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• Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
• Portfolio Selection with Transaction Costs
• Symmetry-based algorithms to relate partial differential equations: I. Local symmetries

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