Optimal strategies in high risk investments

zbMath1219.91128MaRDI QIDQ2455047

Daniel Łebek, Krzysztof J. Szajowski

Publication date: 22 October 2007

Published in: Bulletin of the Belgian Mathematical Society - Simon Stevin (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bbms/1172852250

zbMATH Keywords

utilityhedgingdifferential equationssecretary problemsEuler-Cauchy approximationKelly betting system

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

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