On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints (Q5415096)
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scientific article; zbMATH DE number 6293578
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints |
scientific article; zbMATH DE number 6293578 |
Statements
On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints (English)
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9 May 2014
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portfolio optimization
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illiquid market
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random trading time
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drawdown constraint
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limsup Markov decision process
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Howard's policy improvement algorithm
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Lévy process
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