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A Note on the Interpretation and Estimation of Parkin's Discount House Portfolio Model

✍ Scribed by Kenneth W. Clements

Book ID
124893637
Publisher
John Wiley and Sons
Year
1981
Tongue
English
Weight
378 KB
Volume
48
Category
Article
ISSN
0034-6527

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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