Mathematical analysis of investment systems

DOI10.1016/j.jmaa.2006.02.092zbMath1104.91043OpenAlexW2133197958MaRDI QIDQ860985

Qiji J. Zhu

Publication date: 9 January 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.02.092

zbMATH Keywords

convex optimizationmoney managementinformation rateentropy maximizationtrading systems

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

Related Items

Necessary optimality conditions in discrete nonsmooth optimal control, Convex analysis in financial mathematics, Vector majorization and a robust option replacement trading strategy, Analysis of Kelly betting on finite repeated games

Cites Work

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