Mutual fund theorem for continuous time markets with random coefficients
The optimal investment problem is studied for acontinuous time incomplete market model. It is assumed that therisk-free rate, the appreciation rates and the volatility of thestocks are all random; they are independent from the drivingBrownian motion, and they are currently observable. It is show...
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| Format: | Journal Article |
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Springer
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/17860 |