Utility Maximization and Optimal Portfolio Selection

Utility Maximization and Optimal Portfolio Selection

S. Udayabaskaran (Vel Tech Technical University, India)
Copyright: © 2016 |Pages: 25
DOI: 10.4018/978-1-5225-0044-5.ch015
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Abstract

Utility maximization and optimal portfolio selection with or with-out consumption/transaction cost based on stochastic models of prices of securities with stochastic volatility are discussed.

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