Journal of Automation and Information Sciences
Publication de 12 numéros par an
ISSN Imprimer: 1064-2315
ISSN En ligne: 2163-9337
SJR:
0.173
SNIP:
0.588
CiteScore™::
2
Indexed in
On Merton's Problem in the Case of Periodic Fast Oscillating Stochastic Coefficients
Volume 41,
Numéro 11, 2009,
pp. 60-80
DOI: 10.1615/JAutomatInfScien.v41.i11.60
RÉSUMÉ
Merton's problem of investor portfolio optimization with possibility of investments in risk and risk free assets and their partial consumption is considered. The integral functional of cost corresponds to behavior of investor averse to risk. To describe risk asset evolution Samuelson model with fast oscillating periodic stochastic perturbations is used. The interest rate is also periodic fast oscillating stochastic function.
CITÉ PAR
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Bondarev B. V., Kozyr S. M., Estimating the unknown parameter in weak-signal systems, Cybernetics and Systems Analysis, 47, 3, 2011. Crossref
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Index, Volume 52, 2020