Author

SUNScholar Research Repository

Author

Sort by: Order: Results:

  • 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 ...