首页 | 本学科首页   官方微博 | 高级检索  
文章检索
  按 检索   检索词:      
出版年份:   被引次数:   他引次数: 提示:输入*表示无穷大
  收费全文   1篇
  免费   0篇
财政金融   1篇
  2013年   1篇
排序方式: 共有1条查询结果,搜索用时 31 毫秒
1
1.
The paper studies the robust maximization of utility from terminal wealth in a diffusion financial market model. The underlying model consists of a tradable risky asset whose price is described by a diffusion process with misspecified trend and volatility coefficients, and a non-tradable asset with a known parameter. The robust functional is defined in terms of a utility function. An explicit characterization of the solution is given via the solution of the Hamilton–Jacobi–Bellman–Isaacs (HJBI) equation.  相似文献   
1
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号