Alternative optimality criteria of portfolio selection based upon threshold stopping rule

DOI10.1002/ASM.3150100404zbMath0828.90006OpenAlexW2024114611MaRDI QIDQ4842333

Tadashi Dohi, Shunji Osaki, Eiichi Kitaoka

Publication date: 27 July 1995

Published in: Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asm.3150100404

zbMATH Keywords

Laplace-Stieltjes transformKelly strategycontinuous tradingcontinuous time portfolio selectionLST criteriathreshold stopping investment rule

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Alternative growth versus security in continuous dynamic trading

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