Identification and control in the partially known Merton portfolio selection model

DOI10.1007/BF00940720zbMath0792.90008MaRDI QIDQ1321343

V. Pereyra

Publication date: 17 July 1994

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

zbMATH Keywords

identificationadaptive controlpartial observationMerton two-asset portfolio selection model

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Adaptive control of discounted Markov decision chains
• Adaptive control of three continuous time portfolio and consumption models
• Rate of convergence for an estimator in a portfolio and consumption model
• Adaptive control of a continuous time portfolio and consumption model
• Optimization Problems in the Theory of Continuous Trading
• Estimation and control in discounted stochastic dynamic programming
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