Alternative optimality criteria of portfolio selection based upon threshold stopping rule

DOI10.1002/ASM.3150100404MaRDI QIDQ4842333zbMATH OpenOpenAlexFDO

Authors Tadashi Dohi, Eiichi Kitaoka, Sunji Osaki

Publication date 27 July 1995

Published in Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asm.3150100404

zbMATH Keywords

continuous time portfolio selectioncontinuous tradingKelly strategyLaplace-Stieltjes transformLST criteriathreshold stopping investment rule

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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Cites work

• Alternative growth versus security in continuous dynamic trading

Cited in

(2)

• Alternative growth versus security in continuous dynamic trading
• Multi-criteria optimal stopping methods applied to the portfolio optimisation problem

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