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
  • [41] Comparative study of information measures in portfolio optimization problems
    Batra, Luckshay
    Taneja, H.C.
    Journal of Ambient Intelligence and Humanized Computing, 2024, 15 (04) : 2481 - 2503
  • [42] Algorithm portfolio based scheme for dynamic optimization problems
    Fajardo Calderin, Jenny
    Masegosa, Antonio D.
    Pelta, David A.
    INTERNATIONAL JOURNAL OF COMPUTATIONAL INTELLIGENCE SYSTEMS, 2015, 8 (04) : 667 - 689
  • [43] Optimization problems in the simulation of multifactor portfolio credit risk
    Kang, W
    Lee, K
    COMPUTATIONAL SCIENCE AND ITS APPLICATIONS - ICCSA 2006, PT 3, 2006, 3982 : 777 - 784
  • [44] Comparative study of information measures in portfolio optimization problems
    Batra L.
    Taneja H.C.
    Journal of Ambient Intelligence and Humanized Computing, 2024, 15 (4) : 2481 - 2503
  • [45] Multiobjective evolutionary algorithms for complex portfolio optimization problems
    Anagnostopoulos K.P.
    Mamanis G.
    Computational Management Science, 2011, 8 (3) : 259 - 279
  • [46] Particle swarm optimization for constrained portfolio selection problems
    Chen, Wei
    Zhang, Run-Tong
    Cai, Yong-Ming
    Xu, Fa-Sheng
    PROCEEDINGS OF 2006 INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND CYBERNETICS, VOLS 1-7, 2006, : 2425 - +
  • [47] Consumption and portfolio optimization solvable problems with recursive preferences
    Kang, Jian-hao
    Gou, Zhun
    Huang, Nan-jing
    COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2025, 144
  • [48] Reverse quantum annealing approach to portfolio optimization problems
    Venturelli, Davide
    Kondratyev, Alexei
    QUANTUM MACHINE INTELLIGENCE, 2019, 1 (1-2) : 17 - 30
  • [49] Reverse quantum annealing approach to portfolio optimization problems
    Davide Venturelli
    Alexei Kondratyev
    Quantum Machine Intelligence, 2019, 1 : 17 - 30
  • [50] Algorithm portfolio based scheme for dynamic optimization problems
    Jenny Fajardo Calderín
    Antonio D. Masegosa
    David A. Pelta
    International Journal of Computational Intelligence Systems, 2015, 8 : 667 - 689
12345