Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus
نویسندگان
چکیده
منابع مشابه
Continuous time portfolio optimization
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this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2016
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2015.1132218