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Thaleia Zariphopoulou 《Mathematical Methods of Operations Research》1999,50(2):271-296
We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor
in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings.
The price of the bond is deterministic as opposed to the stock price which is modelled as a diffusion process. The main assumption
is that the coefficients of the stock price diffusion are arbitrary nonlinear functions of the underlying process. The investor's
goal is to maximize his expected utility from terminal wealth and/or his expected utility of intermediate consumption. The
individual preferences are of Constant Relative Risk Aversion (CRRA) type for both the consumption stream and the terminal
wealth. Employing a novel transformation, we are able to produce closed form solutions for the value function and the optimal
policies. In the absence of intermediate consumption, the value function can be expressed in terms of a power of the solution
of a homogeneous linear parabolic equation. When intermediate consumption is allowed, the value function is expressed via
the solution of a non-homogeneous linear parabolic equation. 相似文献
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Papadopoulos Charalampos Mimidis Konstantinos Tentes Ioannis Tente Thaleia Anagnostopoulos Konstantinos 《平面色谱法杂志一现代薄层色谱法》2021,34(5):411-418
JPC – Journal of Planar Chromatography – Modern TLC - A set of constituents of the erythrocyte membrane lipidome has been proposed to serve as biomarkers for liver disease and acute... 相似文献
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