Dynamic portfolio choice under asset price lognormality

DOI10.1016/0898-1221(92)90195-NzbMath0769.90006OpenAlexW2067184785MaRDI QIDQ1202468

Alain Nairay

Publication date: 11 February 1993

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(92)90195-n

zbMATH Keywords

asset price lognormalitydiffusion portfolio model

Mathematics Subject Classification ID

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Control of diffusion processes in \(\mathbb R^N\)
• Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions
• Control of a Solution of a Stochastic Integral Equation
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