The opportunity process for optimal consumption and investment with power utility
✍ Scribed by Marcel Nutz
- Book ID
- 107399501
- Publisher
- Springer-Verlag
- Year
- 2010
- Tongue
- English
- Weight
- 286 KB
- Volume
- 3
- Category
- Article
- ISSN
- 1862-9679
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract In this paper, we assume that an investor can invest his/her wealth in a bond and a stock. In our wealth model, the stochastic interest rate is described by a Cox–Ingersoll–Ross (CIR) model, and the volatility of the stock is proportional to another CIR process. We obtain a closed‐form
To select the optimum operating conditions for a multiple impeller laboratory bio-reactor, nine impeller combinations consisting of three basic impeller types, namely pitched blade turbine downflow (PTD), pitched blade turbine upflow (PTU) and disc turbine (DT), were tested. Power consumption and fr