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Dynamic Portfolio Choice

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0009
Subject:
Economics and Finance, Financial Economics

The first‐order condition for optimal portfolio choice is called the Euler equation. Optimal consumption can be computed by a static approach in a dynamic complete market and by orthogonal projection ... More


Continuous-Time Portfolio Choice and Pricing

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0014
Subject:
Economics and Finance, Financial Economics

The Euler equation is defined. The static approach can be used to derive an optimal portfolio in a complete market and when the investment opportunity set is constant. In the latter case, the optimal ... More


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