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Asymptotic Approximation of Optimal Portfolio for Small Time Horizons - MaRDI portal

Asymptotic Approximation of Optimal Portfolio for Small Time Horizons (Q4579841)

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scientific article; zbMATH DE number 6915876
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Asymptotic Approximation of Optimal Portfolio for Small Time Horizons
scientific article; zbMATH DE number 6915876

    Statements

    title
    Asymptotic Approximation of Optimal Portfolio for Small Time Horizons (English)
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    author
    Rohini Kumar
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    Hussein Nasralah
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    publication date
    10 August 2018
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    zbMATH Keywords
    portfolio optimization
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    stochastic control
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    probability
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    quantitative finance
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    Identifiers

    DOI
    10.1137/17M1111371
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    Mathematics Subject Classification ID
    91G10
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    93E20
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    91G80
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    60G44
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    49L25
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    zbMATH DE Number
    6915876
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    arXiv ID
    1611.09300
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    OpenAlex ID
    W2795570552
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