Reikvam Kristin

Kristin Reikvam

Information about the author Kristin Reikvam will soon be added to the site.
Found 1 papers in total
Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein–Uhlenbeck type
Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein–Uhlenbeck type
2003
We study Merton's classical portfolio optimization problem for an investor who can...
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