Optimal stopping time of a portfolio selection problem with multi-assets
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Publication:2033993
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Cites work
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 1547390 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Optimal stock selling/buying strategy with reference to the ultimate average
- Optimum consumption and portfolio rules in a continuous-time model
- Selling a stock at the ultimate maximum
- Thou shalt buy and hold
Cited in
(5)- Multi-criteria optimal stopping methods applied to the portfolio optimisation problem
- Optimal investment with stopping in finite horizon
- Portfolio problems stopping at first hitting time with application to default risk
- Analysis of an optimal stopping problem arising from hedge fund investing
- Optimal time of switching between portfolios of securities
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