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AN INTRODUCTION TO MERTON'S PORTFOLIO PROBLEM
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
2014 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

 

In financial mathematics, Merton's portfolio problem is a statement of an

investor's problem to allocate his wealth between risk-free and risky assets as to

optimize the growth. The purpose of this report is to introduce and explain the

fundamental terms and mathematics included in the problem. Further the

investor's wealth and risk preferences are studied under a few assumptions. The

qualitative properties of the optimal allocation are analysed in the wealth and time perspective by examining the behaviour of introduced auxiliary functions. It turns out that the properties of the investors risk preferences will have direct consequences on the behaviour of the optimal allocation.

Place, publisher, year, edition, pages
2014. , 24 p.
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-147360OAI: oai:DiVA.org:kth-147360DiVA: diva2:729838
Supervisors
Available from: 2014-06-26 Created: 2014-06-26 Last updated: 2014-06-26Bibliographically approved

Open Access in DiVA

Daniel Isaksson & Oskar Kallur kandidatexamensarbete inom teknisk fysik.(234 kB)41 downloads
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  • apa
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