Some problems for Clark's model. II. A solution for Merton's portfolio problem
The problem of finding the optimal control over the portfolio for an investor in (B, S)-market is considered. Clark's model is taken as a model for the stock price evolution. The cases of risk-loving, risk-neutral, and risk-averse investors are considered.
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| Veröffentlicht in: | Cybernetics and systems analysis 2013-09, Vol.49 (5), p.727 |
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| container_issue | 5 |
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| container_title | Cybernetics and systems analysis |
| container_volume | 49 |
| creator | Bondarev, B.V Sosnytskyy, O.E |
| description | The problem of finding the optimal control over the portfolio for an investor in (B, S)-market is considered. Clark's model is taken as a model for the stock price evolution. The cases of risk-loving, risk-neutral, and risk-averse investors are considered. |
| doi_str_mv | 10.1007/s10559-013-9560-x |
| format | Article |
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| ispartof | Cybernetics and systems analysis, 2013-09, Vol.49 (5), p.727 |
| issn | 1060-0396 1573-8337 |
| language | eng |
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| source | SpringerLink Journals - AutoHoldings |
| title | Some problems for Clark's model. II. A solution for Merton's portfolio problem |
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