Comonotonic approximation to periodic investment problems under stochastic drift
Liang Xu, Chunyan Gao, Gang Kou, Qinjun Liu
| Year of publication: |
1 October 2017
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|---|---|
| Authors: | Xu, Liang ; Chunyan Gao ; Kou, Gang ; Liu, Qinjun |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 262.2017, 1 (1.10.), p. 251-261
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| Subject: | Decision support system | Comonotonic approximation | Stochastic drift | Periodic investment problems | Dynamic control | Black-Scholes market | Theorie | Theory | Stochastischer Prozess | Stochastic process | Management-Informationssystem | Management information system | Investition | Investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.04.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011785742