Mutual fund theorem for continuous time markets with random coefficients

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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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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Springer 2013
Subjects:	continuous time market models Mutual Fund Theorem optimal portfolio
Online Access:	http://hdl.handle.net/20.500.11937/17860

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