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

dc.contributor.author	Dokuchaev, Nikolai
dc.date.accessioned	2017-01-30T11:12:51Z
dc.date.available	2017-01-30T11:12:51Z
dc.date.created	2014-10-08T02:29:19Z
dc.date.issued	2010
dc.identifier.citation	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.
dc.identifier.uri	http://hdl.handle.net/20.500.11937/9460
dc.description.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.
dc.publisher	Elsevier BV
dc.subject	stochastic processes
dc.subject	optimal control
dc.subject	finance
dc.title	Optimality of myopic strategies for multi-stock discrete time market with management costs
dc.type	Journal Article
dcterms.source.volume	200
dcterms.source.number	2
dcterms.source.startPage	551
dcterms.source.endPage	556
dcterms.source.issn	03772217
dcterms.source.title	European Journal of Operational Research
curtin.accessStatus	Open access