Practice Portfolios
Solve Merton's portfolio problem and test it
Hard+50 pointsAbout 70 minutesPortfolios
Coming soon
Derive the optimal risky share for a CRRA investor and check by simulation that small changes to it lower expected utility.
This problem opens with Stochastic Calculus for Finance. It draws on the modules below.
- Stochastic Calculus 2.11 Stochastic optimal control (coming soon)