Resolution of degeneracy in Merton's portfolio problem
The Merton problem determines the optimal intertemporal portfolio choice by maximizing the expected utility and is the basis of modern portfolio theory in continuous-time finance. However, its empirical performance is disappointing. The estimation errors of the expected rates of returns make the opt...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/89935 http://hdl.handle.net/10220/46436 |