The finite horizon investor problem with a budget constraint

DOI10.1016/J.IPL.2007.05.001MaRDI QIDQ2379989zbMATH OpenOpenAlexFDO

Authors Asaf Levin

Publication date 24 March 2010

Published in Information Processing Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ipl.2007.05.001

zbMATH Keywords

approximation algorithmsdynamic programming with a budget constraint

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Dynamic programming (90C39)

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Cites work

• A fully polynomial-time approximation scheme for single-item stochastic inventory control with discrete demand
• Martingales and stochastic integrals in the theory of continuous trading
• When Does a Dynamic Programming Formulation Guarantee the Existence of a Fully Polynomial Time Approximation Scheme (FPTAS)?

Cited in

(6)

• Approximating the optimal sequence of acquisitions and sales with a capped budget
• Investment decisions with finite-lived collars
• Capital budgeting problems: a parameterized point of view
• Finite horizon portfolio selection problems with stochastic borrowing constraints
• The discrete sell or hold problem with constraints on asset values
• Free boundary problem for an optimal investment problem with a borrowing constraint

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