Informace o publikaci
Asset-Pricing Models in Portfolio Theory
| Autoři | |
|---|---|
| Rok publikování | 2013 |
| Druh | Článek ve sborníku |
| Konference | Financial Mathematics in Practice II, Book of short papers |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Obecná matematika |
| Klíčová slova | portfolio theory; the Merton model; Ohlson-Rosenberg paradox |
| Popis | 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. |