Essays about: "Merton s Optimal Investment-Consumption Problem"
Found 2 essays containing the words Merton s Optimal Investment-Consumption Problem.
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1. Merton's Portfolio Problem under Jourdain--Sbai Model
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. READ MORE
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2. Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : Merton’s Optimal Investment-Consumption Problem is a classic optimization problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk-less assets, inorder to maximize an investor’s utility function. READ MORE