Analysis of optimal strategies for a competing stock market portfolio model with a polyvariant profit function

DOI10.1007/S10559-011-9304-8MaRDI QIDQ464874zbMATH OpenOpenAlexFDO

Authors B. Yu. Kyshakevych, A. K. Prykarpats'kyi, I. P. Tverdokhlib

Publication date 30 October 2014

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-011-9304-8

zbMATH Keywords

Markov processcompetitionoptimal strategyprofit functionstock marketshare portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3965059 (Why is no real title available?)
• scientific article; zbMATH DE number 3973403 (Why is no real title available?)
• scientific article; zbMATH DE number 107853 (Why is no real title available?)
• European Option Pricing with Transaction Costs
• Optimum consumption and portfolio rules in a continuous-time model
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• A method of associated Markov process for studying competitive stock market models with bi-variant quality function within a bank portfolio

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