Topics in portfolio choice: qualitative properties, time consistency and investment under model uncertainty
<p>The study of expected utility maximization in continuous-time stochastic market models dates back to the seminal work of Merton 1969 and has since been central to the area of Mathematical Finance. The associated stochastic optimization problems have been extensively studied. The problem for...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2014
|
| Subjects: |