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- W2359002181 abstract "The investment model of the Merton is extended to the mo del with stochastic oscillation.In the dynamic programming of the classical,the value function is generally represented by the viscosity solution of the Stochas tic partial differential equation in the investment problem.In this paper,the pa rtial differential equation is transferred to a semi-linear parabolic equation by using exponential transformation,meanwhile the existence of the continuous so lution of the value function is proven.Furthermore,the optimal investment policy is obtained and an example is offered." @default.
- W2359002181 created "2016-06-24" @default.
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- W2359002181 date "2005-01-01" @default.
- W2359002181 modified "2023-09-25" @default.
- W2359002181 title "The Optimal Investment Portfolio Policy Based on the Stochastic Volatility" @default.
- W2359002181 hasPublicationYear "2005" @default.
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