## Abstract We consider a financial market consisting of a risky asset and a riskless one, with a constant or random investment horizon. The interest rate from the riskless asset is constant, but the relative return rate from the risky asset is stochastic with an unknown parameter in its distributi
Optimal investment and consumption models with non-linear stock dynamics
โ Scribed by Thaleia Zariphopoulou
- Publisher
- Springer
- Year
- 1999
- Tongue
- English
- Weight
- 193 KB
- Volume
- 50
- Category
- Article
- ISSN
- 0340-9422
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