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ON PORTFOLIO CHOICE BY MAXIMIZING THE OUTPERFORMANCE PROBABILITY - MaRDI portal

ON PORTFOLIO CHOICE BY MAXIMIZING THE OUTPERFORMANCE PROBABILITY (Q3069961)

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ON PORTFOLIO CHOICE BY MAXIMIZING THE OUTPERFORMANCE PROBABILITY
scientific article

    Statements

    title
    ON PORTFOLIO CHOICE BY MAXIMIZING THE OUTPERFORMANCE PROBABILITY (English)
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    publication date
    2 February 2011
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    zbMATH Keywords
    portfolio selection
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    benchmark outperformance
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    geometric Brownian motion
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    large deviations
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    optimal control
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    Identifiers

    zbMATH DE Number
    5843571
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    OpenAlex ID
    W2126082701
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