Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    Discrete time market with serial correlations and optimal myopic strategies.

    166898_166898.pdf (182.6Kb)
    Access Status
    Open access
    Authors
    Dokuchaev, Nikolai
    Date
    2007
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Dokuchaev, Nikolai. 2007. Discrete time market with serial correlations and optimal myopic strategies.. European Journal of Operational Research. 177 (2): pp. 1090-1104.
    Source Title
    European Journal of Operational Research
    DOI
    10.1016/j.ejor.2006.01.004
    ISSN
    03772217
    School
    Department of Mathematics and Statistics
    Remarks

    NOTICE: This is the author's version of a work that was accepted for publication in European Journal of Operational Research. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was sumitted for publication. A definitive version was subsequently published in European Journal of Operational Research, 177, 2, 2007. DOI: 10.1016/j.ejor.2006.01.004

    URI
    http://hdl.handle.net/20.500.11937/23003
    Collection
    • Curtin Research Publications
    Abstract

    The paper studies discrete time market models with serial correlations. We found a market structure that ensures that the optimal strategy is myopic for the case of both power or logutility function. In addition, discrete time approximation of optimal continuous time strategies for diffusion market is analyzed. It is found that the performance of optimal myopic diffusion strategies cannot be approximated by optimal strategies with discrete time transactions that are optimal for the related discrete time market model.

    Related items

    Showing items related by title, author, creator and subject.

    • On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
      Rodkina, A.; Dokuchaev, Nikolai (2015)
      This paper studies the properties of discrete-time stochastic optimal control problems associated with portfolio selection. We investigate if optimal continuous-time strategies can be used effectively for a discrete-time ...
    • Global algorithms for nonlinear discrete optimization and discrete-valued optimal control problems
      Woon, Siew Fang (2009)
      Optimal control problems arise in many applications, such as in economics, finance, process engineering, and robotics. Some optimal control problems involve a control which takes values from a discrete set. These problems ...
    • Optimal Control Computation for Discrete Time Time-Delayed Optimal Control Problem with All-Time-Step Inequality Constraints
      Li, Bin; Teo, Kok Lay; Duan, G. (2010)
      In this paper, we consider a class of discrete time optimal control problems with time delay and subject to nonlinear all-time-step inequality constraints on both the state and control. By using a constraint transcription ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.