Sökning: "Merton s Optimal Investment-Consumption Problem"

Hittade 2 uppsatser innehållade orden Merton s Optimal Investment-Consumption Problem.

1. 1. Merton's Portfolio Problem under Jourdain--Sbai Model

   Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Författare :Sajedeh Saadat; [2023]
   Nyckelord :Merton’s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model; Finite-difference method; Crank-Nicolson.;

   Sammanfattning : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. LÄS MER

3. 2. Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model

   Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Författare :Tara Romsäter; [2023]
   Nyckelord :Merton s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model.;

   Sammanfattning : Merton’s Optimal Investment-Consumption Problem is a classic optimization problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk-less assets, inorder to maximize an investor’s utility function. LÄS MER