scientific article; zbMATH DE number 1066452

MaRDI QIDQ4357645zbMATH OpenFDO

Authors Jakša Cvitanić

Publication date 25 September 1997

zbMATH Keywords

continuous-time modeloptimal tradingportfolio optimizationconvex constraintsportfolio process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Economic growth models (91B62) Optimal stochastic control (93E20)

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(26)

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• Optimal initial coin offering under speculative token trading
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• scientific article; zbMATH DE number 6960884 (Why is no real title available?)
• Maximal trades
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• Optimal trading of a security when there are taxes and transaction costs
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• Minimizing the lifetime ruin under borrowing and short-selling constraints

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