On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk
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In this paper, we study a dynamic portfolio-consumption optimization problem when the market price of risk is driven by linear Gaussian processes. We show sufficient conditions to verify that an explicit solution derived from the Hamilton-Jacobi-Bellman equation is in fact an optimal solution to the portfolio selection problem.
KeywordsOptimal portfolios Hamilton-Jacobi-Bellman equation Stochastic market price of risk Verification theorem
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