Asset-Pricing Models in Portfolio Theory
| Authors | |
|---|---|
| Year of publication | 2013 |
| Type | Article in Proceedings |
| Conference | Financial Mathematics in Practice II, Book of short papers |
| MU Faculty or unit | |
| Citation | |
| Field | General mathematics |
| Keywords | portfolio theory; the Merton model; Ohlson-Rosenberg paradox |
| Description | The dynamic portfolio problem in continuous time is introduced. The Ohlson-Rosenberg paradox is presented. Another approach to the continuous-time models in portfolio theory is discussed, which leads to nonlinear stochastic differential equations. |