Minimizing the Expected Market Time to Reach a Certain Wealth Level
From MaRDI portal
Publication:3402358
DOI10.1137/080741124zbMath1198.60028arXiv0904.1903OpenAlexW2059993836MaRDI QIDQ3402358
Constantinos Kardaras, Eckhard Platen
Publication date: 3 February 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.1903
numéraire portfolioovershootupcrossingmarket timegrowth-optimal portfolioexponential Lévy marketsItô marketssemimartingale markets
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)
Related Items (8)
Adaptive bet-hedging revisited: considerations of risk and time horizon ⋮ Optimal reinsurance: minimize the expected time to reach a goal ⋮ Portfolio optimization with asset preselection using data envelopment analysis ⋮ Asymptotic minimization of expected time to reach a large wealth level in an asset market game ⋮ Timing portfolio strategies with exponential Lévy processes ⋮ Optimal reinsurance with a rescuing procedure ⋮ THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS ⋮ APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES
This page was built for publication: Minimizing the Expected Market Time to Reach a Certain Wealth Level
