Optimal strategies in a risk selection investment model

DOI10.1239/aap/1013540177zbMath0985.60039OpenAlexW2009115083MaRDI QIDQ4507956

David Assaf, Wolfgang Stadje, Yuliy M. Baryshnikov

Publication date: 9 May 2002

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1013540177

zbMATH Keywords

optimal strategydynamic programmingruin probabilityrisk selectioncautions strategycontrolled risk processminimal expected ruin timestochastic investment model

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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High-risk and competitive investment models

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