Solution of the Multi-Asset Finite Horizon Investment Renewal Problem

DOI10.1287/MNSC.21.10.1156MaRDI QIDQ4062149zbMATH OpenOpenAlexFDO

Authors R. R. Trippi, Basheer M. Khumawala

Publication date 1975

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.21.10.1156

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Decision theory (91B06)

Recommendations

• Multi-asset portfolio selection problem with transaction costs
• A multi-period renewal equipment problem
• Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
• Capital renewal as a real option
• A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets

Cited in

(2)

• An optimal multi-machine replacement policy in a serially dependent production system
• Capital renewal as a real option

This page was built for publication: Solution of the Multi-Asset Finite Horizon Investment Renewal Problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4062149)