Sequential binary investment decisions. A Bayesian approach

MaRDI QIDQ1187682zbMATH OpenFDO

Authors Werner Jammernegg

Publication date 17 September 1992

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

uncertaintystopping rulerisk aversionoptimal timingoptimal investmentdiscount factorplanning horizonSensitivity analysesbinary dynamic decisiondynamic Bayesian decision modelsDynamic models of investment theoryMonotone transition probabilitiestwo-asset dynamic portfolio

Mathematics Subject Classification ID

Decision theory (91B06) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Stopping times; optimal stopping problems; gambling theory (60G40) Economic growth models (91B62)

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Cited in

(8)

• Monotonicity and bounds for convex stochastic control models
• Optimal decisions for an insurance contract with experience rating
• Limits of Bayesian decision related quantities of binomial asset price models
• The effect of information in separable Bayesian semi-Markov control models and its application to investment planning
• A theoretical investigation of randomized asset allocation strategies
• A model of sequential investment
• A dynamic allocation rule for the funding of projects and its long-run properties
• Information processing in a three-actions dynamic decision model

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