Essays about: "Hugo Jacobsson"

Found 1 essay containing the words Hugo Jacobsson.

  1. 1. On Merton's Portfolio Problem : A Stochastic Optimal Control Problem

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Hugo Jacobsson; [2022]
    Keywords : ;

    Abstract : The purpose of this thesis is to examine and solve a classic financial optimization problem known as Merton’s Portfolio Problem. The problem is driven by a stochastic process and can thereby be classified as a stochastic optimal control problem. READ MORE