搜索结果: 1-5 共查到“知识库 国际投资学 stochastic”相关记录5条 . 查询时间(0.127 秒)
A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models
von-Neumann Morgenstern utility asset risk linear combination
2011/4/2
Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion un...
Stochastic evolution equations in portfolio credit modelling
credit risky assets large portfolio numerical methods
2011/3/30
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the ...
This paper considers the Merton portfolio management problem. We are concerned with non-exponential discounting of time and this leads to time inconsistencies of the decision maker. Following Ekeland...
Optimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients
Optimal investment consumption Black--Scholes market Lévy-driven stochastic coefficients
2010/12/20
In this paper, we investigate an optimal investment and consumption problem for an investor who trades in a Black--Scholes financial market with stochastic coefficients driven by a non-Gaussian Ornst...
Backward Stochastic PDEs related to the utility maximization problem
Backward Stochastic PDEs utility maximization problem
2010/12/20
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are descri...