搜索结果: 1-1 共查到“数学 Power Utility Maximization”相关记录1条 . 查询时间(0.088 秒)
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process BSDE
2010/4/27
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of t...