Adaptive control of three continuous time portfolio and consumption models

DOI10.1007/BF00940844zbMath0642.90013OpenAlexW4235863219MaRDI QIDQ1101319

Bozenna Pasik-Duncan, Tyrone E. 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/bf00940844

zbMATH Keywords

average return rate of the risky assetcontinuous time portfolio and consumption modelseconomic application of adaptive controlrecursive parameter estimatorswealth equation

Mathematics Subject Classification ID

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

Related Items (2)

Uniform operator continuity of the stationary Riccati equation in Hilbert space ⋮ Identification and control in the partially known Merton portfolio selection model

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Adaptive control of a continuous time portfolio and consumption model

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