BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES
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Publication:2847244
DOI10.1111/j.1467-9965.2011.00508.xzbMath1283.91170WikidataQ58060566 ScholiaQ58060566MaRDI QIDQ2847244
Timothy C. Johnson, Mihail Zervos, Fares Alazemi
Publication date: 4 September 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00508.x
Hamilton-Jacobi-Bellman equation; diffusion process; optimal stochastic control; optimal investment strategies
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G10: Portfolio theory