Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
Author:
Publisher
EDP Sciences
Subject
Computational Mathematics,Control and Optimization,Control and Systems Engineering
Link
http://www.esaim-cocv.org/10.1051/cocv/2009008/pdf
Reference21 articles.
1. N.G. Dokuchaev,Dynamic portfolio strategies: quantitative methods and empirical rules for incomplete information.Kluwer, Boston (2002).
2. Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation†
3. Discrete time market with serial correlations and optimal myopic strategies
4. Maximin investment problems for discounted and total wealth
5. N Dokuchaev, Optimality of myopic strategies for multi-stock discrete time market with management costs.European J. Oper. Res.(to appear).
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3. On asymptotic optimality of Merton's myopic portfolio strategies under time discretization;IMA Journal of Mathematical Control and Information;2015-05-15
4. Mutual Fund Theorem for continuous time markets with random coefficients;Theory and Decision;2013-05-09
5. Mutual Fund Theorem for Continuous Time Markets with Random Coefficients;SSRN Electronic Journal;2011
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