Constrained maximum variance stopping for a finite horizon increasing random walk
Belleh Fontem
| Year of publication: |
2020
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|---|---|
| Authors: | Fontem, Belleh |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 48.2020, 4, p. 493-499
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| Subject: | Constrained variance maximization | Nonlinear optimal stopping | Optimal control | Random walk | Risk management | Random Walk | Risikomanagement | Suchtheorie | Search theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2020.05.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012294803