Discrete time market with serial correlations and optimal myopic strategies

DOI10.1016/j.ejor.2006.01.004zbMath1111.90059OpenAlexW2045647305MaRDI QIDQ856298

Nikolai G. Dokuchaev

Publication date: 7 December 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11937/23003

zbMATH Keywords

controlstochastic processesoptimal portfolioeconomics

Mathematics Subject Classification ID

Related Items (14)

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Cites Work

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• Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies
• A bounded risk strategy for a market with non-observable parameters.
• Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Optimal portfolio selection and compression in an incomplete market

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