On Myopic Strategies for Multi-Stock Discrete Time Market With Management Costs

The paper studies multi-stock discrete time market models with serial correlations and with some management costs. We found a market structure that ensures that the optimal strategy is myopic for the case of either power or log utility function

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Year of publication:	[2007]
Authors:	Dokuchaev, Nikolai
Publisher:	[2007]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 9, 2007 erstellt
Other identifiers:	10.2139/ssrn.969851 [DOI]
Classification:	C44 - Statistical Decision Theory; Operations Research ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D84 - Expectations; Speculations ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012730527