A note on Merton's portfolio selection problem for the Schwartz mean-reversion model

Stochastic Analysis and Applications

Volumn 23, Issue 4, 2005, Pages 687-704

  Benth, Fred Espen ^a,b   Karlsen, Kenneth Hvistendahl ^a  

^a UNIVERSITY OF OSLO   (Norway)

^b UNIVERSITY OF AGDER   (Norway)

Author keywords

Cole Hopf transform; Dynamic programming; Hamilton Jacobi Bellman equation; Mean reversion; Portfolio optimization; Verification theorem

Indexed keywords

EID: 22944473333     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAP-200064457     Document Type: Article

References (9)

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