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Results tagged with portfolio-theory
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user 31009
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How can you interpret one of the parameters of optimal consumption at the Merton portfolio p...
Statement: Let the dynamics of wealth of the agent satisfy
$$dX_{t} =
\pi_tX_t\Big(\mu dt+\sigma dB_{t}\Big)- c_t X_t dt, \qquad \textrm{with}\quad X_0=x_0 \in \mathbb{R},$$
where $(\pi,c)$ is an inv …
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