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    • Portfolio optimization problems : a martingale and a convex duality approach 

      Tchamga, Nicole Flaure Kouemo (Stellenbosch : University of Stellenbosch, 2010-12)
      ENGLISH ABSTRACT: The first approach initiated by Merton [Mer69, Mer71] to solve utility maximization portfolio problems in continuous time is based on stochastic control theory. The idea of Merton was to interpret the ...