A martingale system theorem for stock investments

DOI10.1016/0167-6377(90)90013-UzbMath0715.90016OpenAlexW2062133121MaRDI QIDQ751954

Robert J. Vanderbei

Publication date: 1990

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(90)90013-u

zbMATH Keywords

investment strategymean-zero martingale

Mathematics Subject Classification ID

Cites Work

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• Stochastic processes. A survey of the mathematical theory

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