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• W3012480142 abstract "We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market model with stochastic parameters, we obtain a characterization of the optimal portfolio for general utility functions in terms of a forward-backward stochastic differential equation (FBSDE) and derive solutions for a number of well-known utility functions. Our results complement a previous studies conducted on optimal strategies in markets driven by Brownian noise with random drift and volatility parameters." @default.
• W3012480142 created "2020-03-23" @default.
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• W3012480142 creator A5032735149 @default.
• W3012480142 date "2020-03-18" @default.
• W3012480142 modified "2023-09-27" @default.
• W3012480142 title "A Variational Analysis Approach to Solving the Merton Problem" @default.
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• W3012480142 hasPublicationYear "2020" @default.
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