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Merton portfolio allocation under stochastic dividends
Lorenzo Reus
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Keyphrases
Dividend Yield
100%
Merton
100%
Portfolio Allocation
100%
Stochastic Dividends
100%
Portfolio Rules
75%
Artificial Stock Market
75%
Dual Process
50%
Lagrangian Dual
50%
High Probability
25%
Dow Jones
25%
U.S. Stocks
25%
Sensitivity Analysis
25%
Optimality Conditions
25%
Numerical Techniques
25%
Primal-dual
25%
Analytical Approximation
25%
Real-time Market
25%
Optimal Portfolio
25%
Risky Assets
25%
Incomplete Markets
25%
Financial Wealth
25%
Spreadsheets
25%
Martingale Approach
25%
Hedging Demand
25%
Current Yield
25%
Data Market
25%
INIS
solutions
100%
allocations
100%
stochastic processes
100%
yields
62%
market
62%
constraints
25%
lagrangian
25%
probability
12%
data
12%
demand
12%
stocks
12%
approximations
12%
assets
12%
prices
12%
sensitivity analysis
12%
Mathematics
Stochastics
100%
Closed Form
100%
Lagrangian
100%
Probability Theory
50%
Optimality
50%
Numerical Technique
50%
Closed Form Solution
50%
Engineering
Closed Form
100%
Optimality
50%
Numerical Technique
50%
Closed Form Solution
50%
Risky Asset
50%
Economics, Econometrics and Finance
Wealth
100%
Incomplete Market
100%
Hedging
100%