Alternative growth versus security in continuous dynamic trading

DOI10.1016/0377-2217(93)E0320-WzbMath0953.90533OpenAlexW2031291758MaRDI QIDQ1127199

Naoto Kaio, Tadashi Dohi, Hiroaki Tanaka, Shunji 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)

Related Items (1)

Alternative optimality criteria of portfolio selection based upon threshold stopping rule

Cites Work

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• The joint density of the maximum and its location for a Wiener process with drift
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Minimizing or Maximizing the Expected Time to Reach Zero
• A Stochastic Programming Model

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