Title of article
Optimality of myopic strategies for multi-stock discrete time market with management costs
Author/Authors
Nikolai Dokuchaev، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
6
From page
551
To page
556
Abstract
The paper studies multi-stock discrete time market models with serial correlations and with some management costs. We found a market structure that ensures that the optimal strategy is myopic for the case of either power or log utility function.
Keywords
Finance , Stochastic processes , Optimal control
Journal title
European Journal of Operational Research
Serial Year
2010
Journal title
European Journal of Operational Research
Record number
1312336
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