OPTIMAL CONSUMPTION AND PORTFOLIO POLICIES WHEN ASSET PRICES FOLLOW A DIFFUSION PROCESS

被引：728

作者：

COX, JC

HUANG, CF

机构：

来源：

关键词：

D O I：

10.1016/0022-0531(89)90067-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：33 / 83

页数：51

共 36 条

[11]

DYBVIG P, IN PRESS REV FINAN S

[12]

DYBVIG P, 1980, POSITIVE WEALTH CONS

[13] QUASI-MARTINGALES [J].

FISK, DL .

[14]

Fleming W.H., 1975, DETERMINISTIC STOCHA

[15]

Gihman I. I., 1979, CONTROLLED STOCHASTI

[16]

Gihman II, 1972, STOCHASTIC DIFFERENT

[17]

Harrison J. M., 1981, Stochastic Processes & their Applications, V11, P215, DOI 10.1016/0304-4149(81)90026-0

[18] MARTINGALES AND ARBITRAGE IN MULTIPERIOD SECURITIES MARKETS [J].

HARRISON, JM ;

KREPS, DM .

[19]

Hestenes MR., 1975, OPTIMIZATION THEORY

[20]

Holmes R. B., 1975, GEOMETRIC FUNCTIONAL