Mathematical analysis of investment systems

DOI10.1016/J.JMAA.2006.02.092zbMATH Open1104.91043OpenAlexW2133197958MaRDI QIDQ860985FDOQ860985

Authors: Qiji J. Zhu 

Publication date: 9 January 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.02.092

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zbMATH Keywords

convex optimizationinformation rateentropy maximizationmoney managementtrading systems

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

Cites Work

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Cited In (8)

• Indices economicos. Modelo dinamico de inversion
• Necessary optimality conditions in discrete nonsmooth optimal control
• Mathematical Asset Management
• Mathematical modeling of investments in an imperfect capital market
• Mathematical model of investment in bonds
• Convex analysis in financial mathematics
• Analysis of Kelly betting on finite repeated games
• Vector majorization and a robust option replacement trading strategy

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