Optimality of myopic strategies for multi-stock discrete time market with management costs

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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.

Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Elsevier BV 2010
Subjects:	stochastic processes optimal control finance
Online Access:	http://hdl.handle.net/20.500.11937/9460

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