On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints (Q5415096)
From MaRDI portal
scientific article; zbMATH DE number 6293578
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints |
scientific article; zbMATH DE number 6293578 |
Statements
On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints (English)
0 references
9 May 2014
0 references
portfolio optimization
0 references
illiquid market
0 references
random trading time
0 references
drawdown constraint
0 references
limsup Markov decision process
0 references
Howard's policy improvement algorithm
0 references
Lévy process
0 references
0 references
