Optimal stopping for factorable process in application to financial problems (Q2739839)
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scientific article; zbMATH DE number 1646314
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal stopping for factorable process in application to financial problems |
scientific article; zbMATH DE number 1646314 |
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16 September 2001
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redistribution of investments
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optimal switching strategy
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stochastic market
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expected gain
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Optimal stopping for factorable process in application to financial problems (English)
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An investor can create a portfolio from one bond and one stock at the initial time and then he can no more than one time redistribute his wealth and create a new portfolio paying some price for the switching. The problem is to find the optimal switching strategy (with respect to the expected gain). This problem is solved for stocks described by usual diffusion equation with regular (predictable, bounded, etc.) coefficients.
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