DYNAMIC PORTFOLIO CHOICE UNDER ASSET PRICE LOGNORMALITY

被引：0
|
作者：
NAIRAY, A
机构：
[1] CDC Capital, Incorporated, New York, NY 10019
来源：
COMPUTERS & MATHEMATICS WITH APPLICATIONS | 1992年 / 24卷 / 8-9期
关键词：
D O I：
10.1016/0898-1221(92)90195-N
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper is a study of the diffusion portfolio model with asset price lognormality. It is shown that, for any well-behaved utility function, an explicit solution can be selected among the extremals by using elementary methods. Applications to several classes of utility functions are presented.
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页码：157 / 166
页数：10
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