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Merton's portfolio problem
Known as:
Merton portfolio problem
Merton's portfolio problem is a well known problem in continuous-time finance and in particular intertemporal portfolio choice. An investor must…
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Related topics
Related topics
8 relations
Bellman equation
Capital asset pricing model
Hamilton–Jacobi–Bellman equation
Non-convexity (economics)
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2014
2014
AN INTRODUCTION TO MERTON'S PORTFOLIO PROBLEM
D. Isaksson
,
Oskar Kallur
2014
Corpus ID: 153042680
In financial mathematics, Merton's portfolio problem is a statement of aninvestor's problem to allocate his wealth between risk…
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Review
2012
Review
2012
E-Portfolio Improving Learning in Mathematics Pre-Service Teacher.
M. Bairral
,
Rafael Santos
2012
Corpus ID: 54873803
This research is focused on dimensions of mathematical thinking among pre-service teachers learning through the use of e…
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2010
2010
Looking for a Library Job? Create an E-Portfolio
P. Dewan
2010
Corpus ID: 166756900
2008
2008
Default Forecasting in KMV
Yuqian Lu
2008
Corpus ID: 150778979
In this dissertation, we present the basic ideals and structrues of the KMV in the framework of both Merton and Vasicek and…
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2007
2007
The Post-Cost Profitability of Momentum Trading Strategies: Further Evidence from the UK
S. Agyei-Ampomah
2007
Corpus ID: 62786703
This paper examines the post-cost profitability of momentum trading strategies in the UK over the period 1988-2003 and provides…
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Highly Cited
2005
Highly Cited
2005
A Particle Swarm Optimisation Approach in the Construction of Optimal Risky Portfolios
G. Kendall
,
Yan Su
Artificial Intelligence and Applications
2005
Corpus ID: 9019485
In this paper, we apply particle swarm optimisation to the construction of optimal risky portfolios for financial investments…
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2002
2002
A model for stock price fluctuations based on information
L. Shepp
IEEE Transactions on Information Theory
2002
Corpus ID: 13510838
The author presents a new model for stock price fluctuations based on a concept of "information." In contrast, the usual Black…
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Review
2002
Review
2002
Return Momentum and Global Portfolio Allocations
Mary M. Bange
,
T. W. Miller
2002
Corpus ID: 14327836
In this paper, we report the first empirical tests concerning the international investment strategies of a panel of investment…
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Highly Cited
2001
Highly Cited
2001
Rational Hedging and Valuation with Utility-Based Preferences
Dirk Becherer
,
Doktor der Naturwissenschaften
2001
Corpus ID: 154458620
In this thesis, we study stochastic optimization problems in which concave functionals are maximized on spaces of stochastic…
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2000
2000
Merton Miller and Modern Finance
René M. Stulz
2000
Corpus ID: 154984456
In this keynote address to the 2000 Financial Management Association International Annual Meeting, I consider Merton Miller’s…
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