Mathematical analysis of investment systems

DOI10.1016/J.JMAA.2006.02.092MaRDI QIDQ860985zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

convex optimizationentropy maximizationinformation ratemoney managementtrading systems

Mathematics Subject Classification ID

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

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Cited in

(10)

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

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