Condiciones de optimalidad para portafolios de inversión con funciones de utilidad rango-dependientes Thesis

short description

  • Master's thesis

Thesis author

  • Pinto Heydler, Mariam


  • The Merton problem is solved with two variants, sufficient conditions are presented for the optimum portfolio of an agent with a piecewise utility function, which depend on a wealth value and is associated with its risk aversion , we use the martingale method and convex duality.

publication date

  • 2017-01-26


  • Martingale method
  • Optimal stochastic control

Document Id

  • 6fd0fc88-2d1c-4714-8be7-b321f0f94971