Convergence of optimal strategies in a discrete time market with finite horizon

DOI10.4064/AM33-1-7zbMATH Open1104.49025OpenAlexW1976609006MaRDI QIDQ3414642

Rafał Kucharski

Publication date: 10 January 2007

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am33-1-7

zbMATH Keywords

dynamic programmingutility maximizationoptimal strategies

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Optimal stochastic control (93E20)

Related Items (2)

Discrete time market with serial correlations and optimal myopic strategies ⋮ Optimality of myopic strategies for multi-stock discrete time market with management costs

Recommendations

• Discrete time market with serial correlations and optimal myopic strategies 👍 👎
• Convergence in incomplete market models 👍 👎
• Convergence of utility functions and convergence of optimal strategies 👍 👎
• Convergence of discrete time option pricing models under stochastic interest rates 👍 👎
• The convergence rate from discrete to continuous optimal investment stopping problem 👍 👎
• On the convergence of optimal solutions in infinite horizon discrete time models 👍 👎
• Convergence of optimal expected utility for a sequence of discrete‐time markets 👍 👎
• On the rate of convergence of infinite horizon discounted optimal value functions 👍 👎
• Title not available (Why is that?) 👍 👎

This page was built for publication: Convergence of optimal strategies in a discrete time market with finite horizon

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3414642)