Solution of the dynamic programming equation for a trading problem∗

DOI10.1080/02331939508844074MaRDI QIDQ4836765zbMATH OpenOpenAlexFDO

Authors Ryszarda Rempała

Publication date 21 June 1995

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331939508844074

zbMATH Keywords

infinite period, discounted, one- commodity stock-exchange problemmarket modelsstationary Markov processtrading problem

Mathematics Subject Classification ID

Dynamic programming (90C39) Auctions, bargaining, bidding and selling, and other market models (91B26)

Recommendations

• scientific article; zbMATH DE number 686947
• Nerlove-Arrow: a new solution to an old problem
• scientific article; zbMATH DE number 4149860
• The \((S,s)\) policy is an optimal trading strategy in a class of commodity price speculation problems
• Portfolio Selection with Transaction Costs

Cites work

• Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
• Dynamic programming and stochastic control
• Stochastic Prices in a Single-Item Inventory Purchasing Model
• Stockpiling under price uncertainty and storage capacity constraints

Cited in

(5)

• scientific article; zbMATH DE number 4149860 (Why is no real title available?)
• A forward algorithm for a generalized wheat trading model
• scientific article; zbMATH DE number 4081250 (Why is no real title available?)
• A model for speculation in a dynamic economy
• Nerlove-Arrow: a new solution to an old problem

This page was built for publication: Solution of the dynamic programming equation for a trading problem^∗

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4836765)