Portfolio optimization problems : a martingale and a convex duality approach
Thesis (MSc (Mathematics))--University of Stellenbosch, 2010. === ENGLISH ABSTRACT: The first approach initiated by Merton [Mer69, Mer71] to solve utility maximization portfolio problems in continuous time is based on stochastic control theory. The idea of Merton was to interpret the maximization...
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| Format: | Others |
| Language: | en |
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Stellenbosch : University of Stellenbosch
2010
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| Online Access: | http://hdl.handle.net/10019.1/5259 |