Mathematical analysis of investment systems

DOI10.1016/j.jmaa.2006.02.092zbMath1104.91043OpenAlexW2133197958MaRDI QIDQ860985

Qiji J. Zhu

Publication date: 9 January 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.02.092

zbMATH Keywords

convex optimizationmoney managementinformation rateentropy maximizationtrading systems

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

Related Items (4)

Necessary optimality conditions in discrete nonsmooth optimal control ⋮ Convex analysis in financial mathematics ⋮ Vector majorization and a robust option replacement trading strategy ⋮ Analysis of Kelly betting on finite repeated games

Cites Work

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