On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk
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- Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2016. "Portfolio choice with stochastic interest rates and learning about stock return predictability," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 347-370.
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"Explicit solutions to dynamic portfolio choice problems: A continuous-time detour,"
Elsevier, vol. 58(C), pages 627-641.
- François Legendre & Djibril Togola, 2015. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Working Papers hal-01117787, HAL.
- François Legendre & Djibril Togola, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Post-Print hal-01342195, HAL.
- Bo Yi & Frederi Viens & Baron Law & Zhongfei Li, 2015. "Dynamic portfolio selection with mispricing and model ambiguity," Annals of Finance, Springer, vol. 11(1), pages 37-75, February.
More about this item
KeywordsOptimal portfolios; Hamilton-Jacobi-Bellman equation; Stochastic market price of risk; Verification theorem;
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