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In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...
Persistent link: https://www.econbiz.de/10013108812
In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with $N$ firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...
Persistent link: https://www.econbiz.de/10013059121