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A note on the correct specification of financial portfolio AIDS models

✍ Scribed by Arthur Grimes; Alfred Y-T. Wong; Chris S. Meads


Book ID
115875264
Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
216 KB
Volume
38
Category
Article
ISSN
0014-2921

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✍ V. Naicker; J.G. O’Hara; P.G.L. Leach πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 271 KB

We revisit the classical Merton portfolio selection model from the perspective of integrability analysis. By an application of a nonlocal transformation the nonlinear partial differential equation for the two-asset model is mapped into a linear option valuation equation with a consumption dependent