Optimality of myopic strategies for multi-stock discrete time market with management costs
The paper studies multi-stock discrete time market models withserial correlations and with some management costs. We found amarket structure that ensures that the optimal strategy is myopicfor the case of either power or log utility function.
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| Format: | Journal Article |
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Elsevier BV
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/9460 |