The finite horizon investor problem with a budget constraint

DOI10.1016/J.IPL.2007.05.001zbMATH Open1183.90238OpenAlexW2015342142MaRDI QIDQ2379989FDOQ2379989

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

Recommendations

• Capital budgeting problems: a parameterized point of view
• A consumption and investment problem via a Markov decision processes approach with random horizon
• Finite horizon portfolio selection problems with stochastic borrowing constraints
• Approximating the optimal sequence of acquisitions and sales with a capped budget
• An Investment Decision Model with the Survival Probability Criterion and its Numerical Solutions: The Finite Horizon Case

zbMATH Keywords

approximation algorithmsdynamic programming with a budget constraint

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (6)

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

This page was built for publication: The finite horizon investor problem with a budget constraint

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2379989)