Optimality of myopic strategies for multi-stock discrete time market with management costs
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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.
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.
European Journal of Operational Research