Optimal stopping time of a portfolio selection problem with multi-assets

DOI10.1007/S40305-018-0223-5zbMATH Open1474.60114OpenAlexW2894901698WikidataQ129090710 ScholiaQ129090710MaRDI QIDQ2033993FDOQ2033993

Authors: Yanyan Li 

Publication date: 18 June 2021

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-018-0223-5

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zbMATH Keywords

dynamic programmingportfoliooptimal stoppingvalue functionholding region

Mathematics Subject Classification ID

Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
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• Thou shalt buy and hold
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• OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE
• A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
• A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients

Cited In (2)

• Optimal time of switching between portfolios of securities
• Portfolio problems stopping at first hitting time with application to default risk

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