RUIN PROBLEMS AND MYOPIC PORTFOLIO OPTIMIZATION IN CONTINUOUS TRADING

被引：8
|
作者：
AASE, KK [1 ]
机构：
[1] NORWEGIAN SCH ECON & BUSINESS ADM,N-5000 BERGEN,NORWAY
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1986年 / 21卷 / 02期
关键词：
D O I：
10.1016/0304-4149(86)90097-9
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
引用
收藏
页码：213 / 227
页数：15
相关论文
共 50 条
  • [1] A MINIMUM VARIANCE RESULT IN CONTINUOUS TRADING PORTFOLIO OPTIMIZATION
    RICHARDSON, HR
    MANAGEMENT SCIENCE, 1989, 35 (09) : 1045 - 1055
  • [2] OPTIMIZATION PROBLEMS IN THE THEORY OF CONTINUOUS TRADING
    KARATZAS, I
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1989, 27 (06) : 1221 - 1259
  • [3] Portfolio Optimization and the Cost of Trading
    Borkovec, Milan
    Domowitz, Ian
    Kiernan, Brian
    Serbin, Vitaly
    JOURNAL OF INVESTING, 2010, 19 (02): : 63 - 76
  • [4] Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading
    Redeker, Imke
    Wunderlich, Ralf
    STATISTICS & RISK MODELING, 2018, 35 (1-2) : 1 - 21
  • [5] Continuous time portfolio optimization
    Bahirai, Alireza
    Abbasi, Behzad
    Omidi, Farahnaz
    Hamzah, Nor Aishah
    Yaakub, Abdul Hadi
    INTERNATIONAL JOURNAL OF NONLINEAR ANALYSIS AND APPLICATIONS, 2015, 6 (02): : 103 - 112
  • [6] CALCULATING CONTINUOUS TIME RUIN PROBABILITIES FOR A LARGE PORTFOLIO WITH VARYING PREMIUMS
    Afonso, Lourdes B.
    Egidio dos Reis, Alfredo D.
    Waters, Howard R.
    ASTIN BULLETIN, 2009, 39 (01): : 117 - 136
  • [7] A New Interactive Algorithm for Continuous Multiple Criteria Problems: A Portfolio Optimization Example
    Karakaya, Gulsah
    Sakar, Ceren Tuncer
    INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING, 2021, 20 (01) : 371 - 398
  • [8] Machine Trading by Time Series Models and Portfolio Optimization
    Thuankhonrak, Pongsak
    Rattagan, Ekarat
    Phoomvuthisarn, Suronapee
    PROCEEDINGS OF THE 2019 4TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY (INCIT): ENCOMPASSING INTELLIGENT TECHNOLOGY AND INNOVATION TOWARDS THE NEW ERA OF HUMAN LIFE, 2019, : 217 - 222
  • [9] On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
    Loewenstein, M
    JOURNAL OF MATHEMATICAL ECONOMICS, 2000, 33 (02) : 209 - 228
  • [10] NUMERICAL EVALUATION OF CONTINUOUS TIME RUIN PROBABILITIES FOR A PORTFOLIO WITH CREDIBILITY UPDATED PREMIUMS
    Afonso, Lourdes B.
    Egidio dos Reis, Alfredo D.
    Waters, Howard R.
    ASTIN BULLETIN, 2010, 40 (01): : 399 - 414
12345