Alternative growth versus security in continuous dynamic trading
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Publication:1127199
DOI10.1016/0377-2217(93)E0320-WzbMATH Open0953.90533OpenAlexW2031291758MaRDI QIDQ1127199FDOQ1127199
Tadashi Dohi, N. Kaio, Hiroaki Tanaka, Sunji Osaki
Publication date: 13 August 1998
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0377-2217(93)e0320-w
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
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- The joint density of the maximum and its location for a Wiener process with drift
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- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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- Growth Versus Security in Dynamic Investment Analysis
- Optimization Problems in the Theory of Continuous Trading
- A Stochastic Programming Model
- An algorithm for maximizing expected log investment return
- Minimizing or Maximizing the Expected Time to Reach Zero
- Growth-security profiles in capital accumulation under risk
- A note on portfolio optimization with path-dependent utility
- A Goal Seeking Investment Model
Cited In (3)
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