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On optimal investment for a behavioural investor in multiperiod incomplete market models
Optimisation existence and well-posedness in behavioral finance distorsion Choquet integral
2011/9/30
Abstract: We provide easily verifiable conditions for the well-posedness of the optimal investment problem for a behavioral investor in an incomplete discrete-time multiperiod financial market model, ...
Optimal investment with bounded VaR for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk
2010/4/27
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is fo...