Optimality of 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:	2010
Authors:	Dokuchaev, Nikolai
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 200.2010, 2, p. 551-556
Publisher:	Elsevier
Subject:	Finance Optimal control Stochastic processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023352