Publication details

Asset-Pricing Models in Portfolio Theory

Authors

KŘIVÁNKOVÁ Lenka

Year of publication 2013
Type Article in Proceedings
Conference Financial Mathematics in Practice II, Book of short papers
MU Faculty or unit

Faculty of Science

Citation
Field General mathematics
Keywords portfolio theory; the Merton model; Ohlson-Rosenberg paradox
Description The dynamic portfolio problem in continuous time is introduced. The Ohlson-Rosenberg paradox is presented. Another approach to the continuous-time models in portfolio theory is discussed, which leads to nonlinear stochastic differential equations.

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