Optimal time of switching between portfolios of securities

DOI10.1023/A:1015552417757zbMath1064.91048MaRDI QIDQ1407350

T. V. Pepelyaeva

Publication date: 16 September 2003

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

zbMATH Keywords

securities marketinvestment strategy.optimal time of switchingportfolio of securities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Related Items (1)

A generalization of the ARIMA model to the nonlinear and continuous cases

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