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.
| Main Author: | |
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| Format: | Journal Article |
| Published: |
Elsevier BV
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/9460 |
| _version_ | 1848745956341710848 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T06:25:36Z |
| format | Journal Article |
| id | curtin-20.500.11937-9460 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:25:36Z |
| publishDate | 2010 |
| publisher | Elsevier BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-94602017-01-30T11:12:52Z Optimality of myopic strategies for multi-stock discrete time market with management costs Dokuchaev, Nikolai stochastic processes optimal control finance 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. 2010 Journal Article http://hdl.handle.net/20.500.11937/9460 Elsevier BV fulltext |
| spellingShingle | stochastic processes optimal control finance Dokuchaev, Nikolai Optimality of myopic strategies for multi-stock discrete time market with management costs |
| title | Optimality of myopic strategies for multi-stock discrete time market with management costs |
| title_full | Optimality of myopic strategies for multi-stock discrete time market with management costs |
| title_fullStr | Optimality of myopic strategies for multi-stock discrete time market with management costs |
| title_full_unstemmed | Optimality of myopic strategies for multi-stock discrete time market with management costs |
| title_short | Optimality of myopic strategies for multi-stock discrete time market with management costs |
| title_sort | optimality of myopic strategies for multi-stock discrete time market with management costs |
| topic | stochastic processes optimal control finance |
| url | http://hdl.handle.net/20.500.11937/9460 |