Stability of Merton's portfolio optimization problem for Lévy models
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Publication:5410812
DOI10.1080/17442508.2012.665056zbMath1284.93258OpenAlexW1978650085MaRDI QIDQ5410812
Maren Diane Schmeck, Fred Espen Benth
Publication date: 17 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/37191
Lévy processesstochastic controlintegral equationsapproximationsportfolio optimizationutility optimization
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Cites Work
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- Option pricing when underlying stock returns are discontinuous
- Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
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