A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

DOI10.1287/MOOR.11.2.371zbMath1011.91503OpenAlexW2006776755MaRDI QIDQ4537870

Stanley R. Pliska

Publication date: 21 May 2003

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://www.kellogg.northwestern.edu/research/math/papers/608.pdf

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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