漂移不确定性下的终端财富最大化

IF 1.6 3区数学 Q2 MATHEMATICS, APPLIED

Optimization Pub Date : 2024-03-05 DOI:10.1080/02331934.2024.2324143

Kerem Uğurlu

引用次数: 0

摘要

我们研究的是一个投资者追求其最终财富最大化的投资组合优化问题。投资组合由一种风险资产（股票）和一种无风险资产（债券）组成。我们假设...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Terminal wealth maximization under drift uncertainty

We study the portfolio optimization problem of an investor seeking to maximize his terminal wealth. The portfolio is composed of one risky asset, a stock, and one riskless asset, a bond. We assume ...

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Optimization 数学-应用数学

CiteScore

4.50

自引率

9.10%

发文量

146

审稿时长

4.5 months

期刊介绍： Optimization publishes refereed, theoretical and applied papers on the latest developments in fields such as linear, nonlinear, stochastic, parametric, discrete and dynamic programming, control theory and game theory. A special section is devoted to review papers on theory and methods in interesting areas of mathematical programming and optimization techniques. The journal also publishes conference proceedings, book reviews and announcements. All published research articles in this journal have undergone rigorous peer review, based on initial editor screening and anonymous refereeing by independent expert referees.