Discrete time portfolio managing

MaRDI QIDQ3431284zbMATH OpenFDO

Authors Roman Sadovyi

Publication date 10 April 2007

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Optimal stochastic control (93E20)

Recommendations

• Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
• Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs
• Risk-sensitive dynamic asset management
• Risk-sensitive portfolio optimization problems with general nonnegative factor models
• Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

Cited in

(2)

• Selecting a discrete portfolio
• Portfolio management under drawdown constraint in discrete-time financial markets

This page was built for publication: Discrete time portfolio managing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3431284)