Analysis of optimal strategies for a competing stock market portfolio model with a polyvariant profit function

DOI10.1007/S10559-011-9304-8zbMath1298.91142OpenAlexW1993436084MaRDI QIDQ464874

J. Herrera, D. Rodríguez-Gómez

Publication date: 30 October 2014

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

Full work available at URL: https://doi.org/10.1007/s10559-011-9304-8

zbMATH Keywords

optimal strategycompetitionMarkov processstock marketprofit functionshare portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• European Option Pricing with Transaction Costs
• Portfolio Selection with Transaction Costs
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