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Publication details
Asset-Pricing Models in Portfolio Theory
Authors | |
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Year of publication | 2013 |
Type | Article in Proceedings |
Conference | Financial Mathematics in Practice II, Book of short papers |
MU Faculty or unit | |
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. |