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In this paper, we present a new dynamic portfolio selection strategy in stock market. The investor is assumed to seek an investment strategy that will maximize ...
We derive a closed-form solution for the optimal portfolio of a nonmyopic utility maximizer who has incomplete information about the alphas or abnormal ...
Missing: Selection | Show results with:Selection
Apr 5, 2023 · We derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ...
The main idea is to replace the portfolio selection models when the uncertain returns are chosen as some special cases such as linear uncertain variables, ...
In this paper, we present a new dynamic portfolio selection strategy in stock market. The investor is assumed to seek an investment strategy that will maximize ...
This paper studies the effect of uncertainty about stochastic diffusion model on dynamic portfolio choice of an investor who maximizes utility of terminal ...
Missing: Selection | Show results with:Selection
In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion.
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This paper develops a discrete time theory of dynamic optimization whre the objective is to maximize the long run probability of survival through risk ...
Uncertainty is represented by the probability space (Ω F P), on which is defined a d-dimensional Brownian motion B = (B1 Bd) over a finite time-horizon [0 T].
Summary: In this paper, the authors derive a closed-form solution for the optimal portfolio of a non-myopic utility maximizer who has incomplete information ...
Missing: Selection | Show results with:Selection