The dynamic portfolio problem in continuous time is introduced. The Ohlson-Rosenberg paradox is presented. Another approach to the continuous-time models in portfolio theory is discussed, which leads to nonlinear stochastic differential equations.
The dynamic portfolio problem in continuous time is introduced. The Ohlson-Rosenberg paradox is presented. Another approach to the continuous-time models in portfolio theory is discussed, which leads to nonlinear stochastic differential equations. (en)