Continuous-Time Models in Portfolio Theory
| Authors | |
|---|---|
| Year of publication | 2012 |
| Type | Article in Proceedings |
| Conference | XX International Conference PDMU-2012 Problems of Decision Making under Uncertainties |
| MU Faculty or unit | |
| Citation | |
| Field | Applied statistics, operation research |
| Keywords | continuous-time models; portfolio theory; equilibrium model |
| Description | The dynamic portfolio problem in continuous time is presented. A equilibrium continuous-time model is presented. |