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
β¦ LIBER β¦
A Note on the Portfolio Selection Problem
β Scribed by Franco Pellerey; Patrizia Semeraro
- Publisher
- Springer US
- Year
- 2005
- Tongue
- English
- Weight
- 103 KB
- Volume
- 59
- Category
- Article
- ISSN
- 0040-5833
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