𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Portfolio selection on the Madrid Exchange: a compromise programming model

✍ Scribed by E. Ballestero; D. Plà–Santamaría

Book ID
108572804
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
178 KB
Volume
10
Category
Article
ISSN
0969-6016

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

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 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 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