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- W101631607 abstract "This project is concerned with the continuous-time portfolio choice problem, also known asMerton's problem, when the opportunity set is stochastic (e.g. when the interest rate and/orvolatility is stochastic). There are two main approaches for solving continuous-time portfolioproblems: the classical stochastic control approach and the so called martingale approach. Themain contribution of this project is to develop a new approach, called the direct approach.Unlike the stochastic control approach, it is not based on the Markov state assumption andcan be extended to the general semimartingale market (though we have not tried to do so). Itsadvantage over the martingale approach is that the direct approach, as its name suggests, isdealing with the primal problem directly. So, unlike the martingale approach, the completenessor incompleteness of the market has not so much affect on it. Furthermore we are able to obtainthe general form of the optimal portfolio policy directly, and not through a dual problem" @default.
- W101631607 created "2016-06-24" @default.
- W101631607 creator A5071990855 @default.
- W101631607 date "2009-01-01" @default.
- W101631607 modified "2023-09-27" @default.
- W101631607 title "On utility of wealth maximization" @default.
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