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Merton's Optimal Portfolio Problem under Sporadic Bankruptcy

The dataset used in the paper is a stock market following a geometric Brownian motion and a riskless asset continuously compounded at a constant rate. The stock can go bankrupt, i.e., lose all of its value, at some exogenous random time modeled as the first arrival time of a homogeneous Poisson process.

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Cite this as

Yaakov Kopeliovich, Michael Pokojovy (2024). Dataset: Merton's Optimal Portfolio Problem under Sporadic Bankruptcy. https://doi.org/10.57702/37kc3nsp

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Additional Info

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Created December 2, 2024
Last update December 2, 2024
Defined In https://doi.org/10.48550/arXiv.2403.15923
Author Yaakov Kopeliovich
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Michael Pokojovy