| Autor: |
Bielecki, T. R., Frei, M. |
| Zdroj: |
Journal of Optimization Theory and Applications; May 1993, Vol. 77 Issue: 2 p399-420, 22p |
| Abstrakt: |
Different aspects of the Merton two-asset portfolio selection model are studied in the case where the average rate of return for the risky asset a is not known to the investor. In particular, we investigate the question of estimation of a under arbitrary admissible allocation policy. The question of optimality of adaptive allocation policies is also discussed. |
| Databáze: |
Supplemental Index |
| Externí odkaz: |
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