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On the role of norm constraints in portfolio selection

✍ Scribed by Jun-ya Gotoh; Akiko Takeda

Publisher
Springer-Verlag
Year
2011
Tongue
English
Weight
1015 KB
Volume
8
Category
Article
ISSN
1619-697X

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A note on the integrability of the class
A note on the integrability of the classical portfolio selection model
✍ 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