Comonotonic approximation to periodic investment problems under stochastic drift

DOI10.1016/j.ejor.2017.04.010zbMath1403.91327OpenAlexW2607033606MaRDI QIDQ1754039

Qinjun Liu, Gang Kou, Chunyan Gao, Liang Xu

Publication date: 30 May 2018

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.04.010

zbMATH Keywords

decision support systemdynamic controlBlack-Scholes marketcomonotonic approximationperiodic investment problemsstochastic drift

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03) Portfolio theory (91G10)

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