Optimal stopping time of a portfolio selection problem with multi-assets

DOI10.1007/s40305-018-0223-5zbMath1474.60114OpenAlexW2894901698MaRDI QIDQ2033993

Yanyan Li

Publication date: 18 June 2021

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-018-0223-5

zbMATH Keywords

portfoliodynamic programmingoptimal stoppingvalue functionholding region

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Cites Work

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