Market selection of constant proportions investment strategies in continuous time-Reference-Cited by-同舟云学术

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Market selection of constant proportions investment strategies in continuous time

Published:2010-03 Issue:2 Volume:46 Page:248-266
ISSN:0304-4068
Container-title:Journal of Mathematical Economics
language:en
Short-container-title:Journal of Mathematical Economics

Author:

Palczewski Jan,Schenk-Hoppé Klaus Reiner

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference30 articles.

1. Continuous-time Markov Chains: An Application-oriented Approach;Anderson,1991

2. Random Dynamical Systems;Arnold,1998

3. Hedging and portfolio optimization in financial markets with a large trader;Bank;Mathematical Finance,2004

4. Stochastic Processes with Applications;Bhattacharya,1990

5. Arbitrage Theory in Continuous Time;Björk,2004

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