Sequential binary investment decisions. A Bayesian approach

zbMATH Open0685.90002MaRDI QIDQ1187682FDOQ1187682

Authors: Werner Jammernegg 

Publication date: 17 September 1992

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

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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)

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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