Optimal investment problem under non-extensive statistical mechanics (Q2001307): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Created claim: Wikidata QID (P12): Q130115282, #quickstatements; #temporary_batch_1731343945797
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.camwa.2018.02.016 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2794225352 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Growth and optimal intertemporal allocation of risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption and portfolio choice with borrowing constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lifetime consumption and investment: retirement and constrained borrowing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment-consumption problem with constraint / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption-portfolio problem with CVaR constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal strategies for asset allocation and consumption under stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance problems for finite horizon semi-Markov decision processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling fat tails in stock returns: a multivariate stable-GARCH approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Possible generalization of Boltzmann-Gibbs statistics. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On non-Gaussianity and dependence in financial time series: a nonextensive approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A theory of non‐Gaussian option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q130115282 / rank
 
Normal rank

Latest revision as of 17:53, 11 November 2024

scientific article
Language Label Description Also known as
English
Optimal investment problem under non-extensive statistical mechanics
scientific article

    Statements

    Optimal investment problem under non-extensive statistical mechanics (English)
    0 references
    0 references
    0 references
    0 references
    3 July 2019
    0 references
    non-extensive statistics
    0 references
    q-Gaussian distribution
    0 references
    utility function
    0 references
    optimal investment
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references