Optimality of myopic strategies for multi-stock discrete time market with management costs
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Open access
Authors
Dokuchaev, Nikolai
Date
2010Type
Journal Article
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Dokuchaev, N. 2010. Optimality of myopic strategies for multi-stock discrete time market with management costs. European Journal of Operational Research. 200 (2): pp. 551-556.
Source Title
European Journal of Operational Research
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Collection
Abstract
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.