A method of associated Markov process for studying competitive stock market models with bi-variant quality function within a bank portfolio

zbMATH Open1195.91146MaRDI QIDQ5325142FDOQ5325142

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

Publication date: 8 August 2009

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zbMATH Keywords

Markov processportfoliostock market model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cited In (4)

• Optimal strategy analysis of a competitive portfolio model of tile share market
• Analysis of optimal strategies for a competing stock market portfolio model with a polyvariant profit function
• A case study of MCB and SBMH stock transaction using a novel BINMA(1) with non-stationary NB correlated innovations
• The study of optimal strategies of a competing stock market model with a bi-variant profit function

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