Maximin investment problems for discounted and total wealth

QR Code

Maximin investment problems for discounted and total wealth

We study an optimal investment problem for a continuous-time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are not necessarily adapted to the driving Brownian motion, and their distributions are unknown, but they ar...

Full description

Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Oxford University Press 2008
Online Access:	http://hdl.handle.net/20.500.11937/39318

Similar Items

Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation.
by: Dokuchaev, Nikolai
Published: (2006)

Dimension reduction and Mutual Fund Theorem in maximin setting for bond market
by: Dokuchaev, Nikolai
Published: (2011)

Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
by: Hin, L., et al.
Published: (2015)

Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
by: Dokuchaev, Nikolai
Published: (2005)

Joint replenishment problem with quantity discounts
by: Wang, Feifei
Published: (2020)

FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS
by: Dokuchaev, Nikolai
Published: (2017)

Weighted in time energy estimates for parabolic equations with applications to non-linear and non-local problems
by: Dokuchaev, Nikolai
Published: (2012)

Linear programming model for investment problem in maximizing the total return
by: Syarifah Zyurina, Nordin, et al.
Published: (2021)

Modelling a Multi-Period Joint Replenishment Problem with Quantity Discounts
by: Haidula, Johannes
Published: (2020)

Discounting for biodiversity Offsets
by: Bond-Smith, Steven
Published: (2012)

An Islamic wealth management investment appraisal of oil tankers
by: Abdullah, Adam, et al.
Published: (2017)

Optimal Fuzzy Control With Application To discounted cost Production Inventory Planning Problem
by: Baten, Md. Azizul, et al.
Published: (2010)

Supply Chain Management: Supplier Selection Problem with Multi-objective Considering Incremental Discount
by: Amir, Azizi, et al.
Published: (2013)

Cost of Capital and Discounting – Risk and Uncertainty.
by: Lilford, Eric
Published: (2021)

Time series properties of liquidation discount
by: Chan, Felix, et al.
Published: (2013)

UPM pushes green initiative with discounts
by: The Malay Mail,
Published: (2013)

A Heuristic Solution Technique to the Joint Replenishment Problem with Quantity Discounts and Full Truck Loads
by: Al-Qaq, Mohammed
Published: (2014)

Wealth Effect Of International Investment Announcements: Evidence From Developing Market
by: Amin Noordin, Bany Ariffin, et al.
Published: (2006)

Examing the REITs Discount and Income Distribution in Malaysia
by: Yee, Wei Liang
Published: (2016)

Discount card a boon for university students
by: The Star,
Published: (2012)

Estimates for first exit times of non-Markovian Ito processes
by: Dokuchaev, Nikolai
Published: (2008)

Price matching for multiple rescindable options and European options
by: Dokuchaev, Nikolai
Published: (2008)

The predictability of band-limited, high-frequency and mixed processes in the presence of ideal low-pass filters
by: Dokuchaev, Nikolai
Published: (2008)

Universal estimate of the gradient for parabolic equations
by: Dokuchaev, Nikolai
Published: (2008)

On degenerate backward SPDEs in bounded domains under non-local conditions
by: Dokuchaev, Nikolai
Published: (2018)

Causal band-limitness and predictability criterions for one-sided sequences
by: Dokuchaev, Nikolai
Published: (2014)

On causal extrapolation of sequences with applications to forecasting
by: Dokuchaev, Nikolai
Published: (2018)

A closed equation in time domain for band-limited extensions of one-sided sequences
by: Dokuchaev, Nikolai
Published: (2018)

A pathwise inference method for the parameters of diffusion terms
by: Dokuchaev, Nikolai
Published: (2018)

On the structure of multifactor optimal portfolio strategies
by: Dokuchaev, Nikolai
Published: (2017)

On detecting predictability of one-sided sequences
by: Dokuchaev, Nikolai
Published: (2017)

Predictors for discrete time processes with energy decay on higher frequencies
by: Dokuchaev, Nikolai
Published: (2012)

On approximation of the distribution for Pearson statistic
by: Dokuchaev, Nikolai

On recoverability of finite traces of square-summable sequences
by: Dokuchaev, Nikolai

A gap between rational annuitization price for producer and price for customer
by: Dokuchaev, Nikolai
Published: (2018)

On recovering parabolic diffusions from their time-averages
by: Dokuchaev, Nikolai
Published: (2019)

On the implied market price of risk under the stochastic numéraire
by: Dokuchaev, Nikolai
Published: (2018)

Parabolic equations with the second-order Cauchy conditions on the boundary
by: Dokuchaev, Nikolai
Published: (2007)

On strong causal binomial approximation for stochastic processes
by: Dokuchaev, Nikolai
Published: (2014)

Optimal replication of random claims by ordinary integrals with applications in finance
by: Dokuchaev, Nikolai
Published: (2013)

Cannot write session to /tmp/vufind_sessions/sess_gd4ii6ohhl3mu5l1un54tc4ee8