Search results

  1. M

    Merton model, a summary of the issues

    Hi, I need to do some numerical example on Merton portfolio selection model.for this I choose some asset in my portfolio .Now I need μ and σ for this equation: dpi(t)=μipi(t)dt+σipi(t)dzi(t) ;i = 1,2,...,n. where like Merton paper μ and σ are instantaneous conditional expected percentage change...
Top