Discrete analysis of portfolio selection with optimal stopping time

DOI10.1155/2009/609196zbMath1175.91161OpenAlexW1987886426WikidataQ58646845 ScholiaQ58646845MaRDI QIDQ1040037

Jianfeng Liang

Publication date: 23 November 2009

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/225019

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Dynamic asset pricing theory with uncertain time-horizon
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Risk-Constrained Dynamic Active Portfolio Management
• Utility Maximization with Discretionary Stopping

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