Application of stochastic flows to optimal portfolio strategies
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Publication:5488585
zbMATH Open1161.91391MaRDI QIDQ5488585FDOQ5488585
Authors: Ryuji Fukaya 
Publication date: 22 September 2006
Full work available at URL: http://journal.ms.u-tokyo.ac.jp/pdf/jms120302.pdf
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Cited In (8)
- Numerical solutions to optimal portfolio selection and consumption strategies under stochastic volatility
- Optimization of market stochastic dynamics
- A Riemannian geometry underlying stochastic algorithm for log-optimal portfolio problem with risk control
- Optimal portfolio allocation of commodity related assets using a controlled forward-backward stochastic algorithm
- Stochastic Partial Differential Equations and Portfolio Choice
- Application of the procedure of stochastic optimization to the problem of finding optimal portfolio
- Title not available (Why is that?)
- Computational Science - ICCS 2004
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