On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk

Toshiki Honda () and Shoji Kamimura ()

Asia-Pacific Financial Markets, 2011, vol. 18, issue 2, 166 pages

Keywords: Optimal portfolios; Hamilton-Jacobi-Bellman equation; Stochastic market price of risk; Verification theorem (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10690-010-9128-y

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