A bounded risk strategy for a market with non-observable parameters.

DOI10.1016/S0167-6687(02)00106-3zbMath1055.91024OpenAlexW3125103522MaRDI QIDQ1413317

Nikolai G. Dokuchaev, Savkin, Andrey V.

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00106-3

zbMATH Keywords

Portfolio selectionStochastic market models

Mathematics Subject Classification ID

Related Items (7)

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Cites Work

• Martingales and arbitage in securities markets with transaction costs
• Universal Portfolios
• The Role of Learning in Dynamic Portfolio Decisions *
• Option pricing: A simplified approach
• Optimal investment strategies with bounded risks, general utilities, and goal achieving
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