Dynamic optimality in optimal variance stopping problems

DOI10.1016/J.SPL.2018.05.030MaRDI QIDQ722667zbMATH OpenOpenAlexFDO

Authors Bruno Buonaguidi

Publication date 27 July 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2018.05.030

zbMATH Keywords

Markov processesdynamic and static optimalityoptimal variance stopping problems

Mathematics Subject Classification ID

Quadratic programming (90C20) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)

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• A Minimum Variance Result in Continuous Trading Portfolio Optimization
• A remark on optimal variance stopping problems
• Constrained dynamic optimality and binomial terminal wealth
• Explicit solutions to some optimal variance stopping problems
• Fluctuations of Lévy processes with applications. Introductory lectures
• Optimal mean-variance portfolio selection
• Optimal mean-variance selling strategies
• Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index
• Variance optimal stopping for geometric Lévy processes

Cited in

(7)

• DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION
• A remark on optimal variance stopping problems
• Constrained maximum variance stopping for a finite horizon increasing random walk
• Explicit solutions to some optimal variance stopping problems
• Optimal stopping and dynamic allocation
• Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index
• Variance optimal stopping for geometric Lévy processes

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