A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
Work
Year: 1986
Type: article
Abstract: The problem of choosing a portfolio of securities so as to maximize the expected utility of wealth at a terminal planning horizon is solved via stochastic calculus and convex analysis. This problem is... more
Author Stanley R. Pliska
Cites: 20
Cited by: 574
Related to: 10
FWCI: 5.568
Citation percentile (by year/subfield): 98.12
Subfield: Finance
Domain: Social Sciences
Open Access status: green