On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk

DOI10.1007/s10690-010-9128-yzbMath1278.91140OpenAlexW2020515553MaRDI QIDQ538323

Toshiki Honda, Kamimura, Shoji

Publication date: 25 May 2011

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9128-y

zbMATH Keywords

Hamilton-Jacobi-Bellman equationverification theoremoptimal portfoliosstochastic market price of risk

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Portfolio theory (91G10)

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