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- W3149710080 abstract "The method of variational inequalities is a useful theoretical tool in stochastic control, but there are few problems in which this method leads to an explicit solution. We present such a problem drawn from portfolio management. An agent can distribute his wealth between two investments, one risky and the other risk-free. He can also consume his wealth, and wishes to manage his portfolio and consumption to maximize total, discounted, expected utility of consumption. This is a degenerate diffusion control problem which can be solved completely. The solution satisfies a related variational inequality." @default.
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- W3149710080 date "1982-01-01" @default.
- W3149710080 modified "2023-09-23" @default.
- W3149710080 title "Degenerate Diffusion Processes in Portfolio Management" @default.
- W3149710080 hasPublicationYear "1982" @default.
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