Optimality of myopic strategies for multi-stock discrete time market with management costs

DOI10.1016/j.ejor.2009.01.028zbMath1177.91076MaRDI QIDQ1042507

Nikolai G. Dokuchaev

Publication date: 14 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.01.028

zbMATH Keywords

optimal control; stochastic processes; finance

Mathematics Subject Classification ID

91B84: Economic time series analysis

91G80: Financial applications of other theories

91B26: Auctions, bargaining, bidding and selling, and other market models

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Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach, Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set, Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations

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