The Clark-Ocone formula and optimal portfolios
In this thesis we propose a new approach to solve single-agent investment problems with deterministic coefficients. We consider the classical Merton’s portfolio problem framework, which is well-known in the modern theory of financial economics: an investor must allocate his money between one riskles...
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| Language: | en |
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2007
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| Online Access: | http://hdl.handle.net/10012/3337 |