Discrete time market with serial correlations and optimal myopic strategies
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Publication:856298
DOI10.1016/J.EJOR.2006.01.004zbMATH Open1111.90059OpenAlexW2045647305MaRDI QIDQ856298FDOQ856298
Authors: Nikolai Dokuchaev 
Publication date: 7 December 2006
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/23003
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Cites Work
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
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- A bounded risk strategy for a market with non-observable parameters.
- Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
- Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies
- Optimal portfolio selection and compression in an incomplete market
Cited In (15)
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- Optimal investment with noise trading risk
- Bayesian filtering for multi-period mean-variance portfolio selection
- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
- Portfolio selection in stochastic markets with HARA utility functions
- Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
- Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
- On strong causal binomial approximation for stochastic processes
- Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
- A mispricing model of stocks under asymmetric information
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Convergence of optimal strategies in a discrete time market with finite horizon
- Optimality of myopic strategies for multi-stock discrete time market with management costs
- Survey on multi-period mean-variance portfolio selection model
- Portfolio selection with hyperexponential utility functions
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