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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

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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
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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
  1. 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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