On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk - Honda, Toshiki; Kamimura, Shoji (Asia-Pacific financial markets, 2011)
Keywords: Econometrics; Economic Theory/Quantitative Economics/Mathematical Methods; Economics and Finance; Expected utility; Finance; Hamilton-Jacobi-Bellman equation; International Economics; Investors; Macroeconomics/Monetary Economics//Financial Economics; Market prices; Normal distribution; Optimal portfolios; Optimization; Optimization techniques; Ordinary differential equations; Portfolio investments; Risk management; Stochastic market price of risk; Studies; Utility functions; Verification theorem; Stochastic market price of risk; Optimal portfolios; Hamilton-Jacobi-Bellman equation; Verification theorem