Optimal portfolio formulas for some mean-reverting price models
Year of publication: |
2014
|
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Authors: | Stojanovic, Srdjan |
Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 2, p. 1-19
|
Subject: | Merton's problem | portfolio optimization | mean-reversion | CRRA utility of wealth | SDEs | PDEs | ODEs | Theorie | Theory | Portfolio-Management | Portfolio selection | CAPM |
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