Dynamical optimization theory of a diversified portfolio-Reference-Cited by-同舟云学术

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Dynamical optimization theory of a diversified portfolio

Published:1998-05 Issue:1-4 Volume:253 Page:403-418
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Marsili Matteo,Maslov Sergei,Zhang Yi-Cheng

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference12 articles.

1. R.C. Merton, Continuous-Time Finance, Blackwell, Cambridge, 1990.

2. Levy, S. Solomon, Int. J. Mod. Phys. C7 (1996) 595, 745.

3. Convergent Multiplicative Processes Repelled from Zero: Power Laws and Truncated Power Laws

4. B. Gnedenko, Theory of Probability, Mir Moscow, 1978.

5. C.W. Gardiner, Handbook of Stochastic Methods, 2nd ed., Springer, Berlin, p. 124.

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