Adaptive control of a continuous time portfolio and consumption model

DOI10.1007/BF00940842zbMath0642.90015OpenAlexW1973881209MaRDI QIDQ1101321

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/bf00940842

zbMATH Keywords

adaptive controlconsumption modelcontinuous time portfolio modelMerton's stochastic differential equationprice of the risky assetrecursive parameter estimator

Mathematics Subject Classification ID

Related Items (3)

Adaptive control of three continuous time portfolio and consumption models ⋮ Rate of convergence for an estimator in a portfolio and consumption model ⋮ Identification and control in the partially known Merton portfolio selection model

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model

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