Optimality of myopic strategies for multi-stock discrete time market with management costs

DOI10.1016/j.ejor.2009.01.028zbMath1177.91076OpenAlexW1988266755MaRDI QIDQ1042507

Nikolai G. Dokuchaev

Publication date: 14 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.01.028

zbMATH Keywords

optimal controlstochastic processesfinance

Mathematics Subject Classification ID

Economic time series analysis (91B84) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26)

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