Browsing University of Waterloo by Author "Smalyanau, Aleh"
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The Clark-Ocone formula and optimal portfolios
Smalyanau, Aleh (University of Waterloo, 2007-09-27)In this thesis we propose a new approach to solve single-agent investment problems with deterministic coefficients. We consider the classical Merton’s portfolio problem framework, which is well-known in the modern theory ...