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

DOI10.1007/BF00940843zbMath0642.90014MaRDI QIDQ1101320

Bozenna Pasik-Duncan, Tyrone E. Duncan

Publication date: 1989

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

zbMATH Keywords

rate of convergencerisky assetbilinear stochastic differential equationportfolio selection and consumption modelrecursive parameter estimatorunknown average return rate

Mathematics Subject Classification ID

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

Related Items (1)

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
• Convergence and rate of convergence of a recursive identification and adaptive control method which uses truncated estimators
• Adaptive Control with a Compact Parameter Set

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