Alternative growth versus security in continuous dynamic trading

DOI10.1016/0377-2217(93)E0320-WMaRDI QIDQ1127199zbMATH OpenOpenAlexFDO

Authors N. Kaio, Tadashi Dohi, 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

zbMATH Keywords

Brownian motiongeometric motiongrowth and securityKelly strategybold strategydynamic trading strategythreshold stopping rule

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

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Cites work

• scientific article; zbMATH DE number 4010171 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3216771 (Why is no real title available?)
• A Goal Seeking Investment Model
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• A Stochastic Programming Model
• A note on portfolio optimization with path-dependent utility
• An algorithm for maximizing expected log investment return
• Growth Versus Security in Dynamic Investment Analysis
• Growth-security profiles in capital accumulation under risk
• Minimizing or Maximizing the Expected Time to Reach Zero
• Optimization Problems in the Theory of Continuous Trading
• Optimum consumption and portfolio rules in a continuous-time model
• The joint density of the maximum and its location for a Wiener process with drift

Cited in

(4)

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• Growth Versus Security in Dynamic Investment Analysis
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