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- W2393154057 abstract "The paper addresses the optimal portfolio selection problem which risky assets follows geometric Brownian motion.With the help of the dynamic programming principle and Lie algebra theory,we get the corresponding HJB equation,obtain the analytical expressions of the value function based on Lie symmetry,and present the optimal investment strategy.In the end,the undetermined coefficient method shows the validity of the result." @default.
- W2393154057 created "2016-06-24" @default.
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- W2393154057 date "2010-01-01" @default.
- W2393154057 modified "2023-09-27" @default.
- W2393154057 title "Symmetry-Based Solution of a Portfolio Selection Model" @default.
- W2393154057 hasPublicationYear "2010" @default.
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