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Finance Optimal control Stochastic processes 1
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Dokuchaev, Nikolai 1
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European Journal of Operational Research 1
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Optimality of myopic strategies for multi-stock discrete time market with management costs
Dokuchaev, Nikolai - In: European Journal of Operational Research 200 (2010) 2, pp. 551-556
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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