RUIN PROBLEMS AND MYOPIC PORTFOLIO OPTIMIZATION IN CONTINUOUS TRADING

被引：8

作者：

AASE, KK ^{[1
]}

机构：

[1] NORWEGIAN SCH ECON & BUSINESS ADM,N-5000 BERGEN,NORWAY

来源：

关键词：

D O I：

10.1016/0304-4149(86)90097-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

引用

页码：213 / 227

页数：15

共 21 条

AASE, KK .

AASE, KK .

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AASE, KK .

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[5]

AASE KK, 1984, 52 U WASH TECHN REP

[6]

AASE KK, 1983, INVESTMENT STRATEGIE

[7]

[Anonymous], 1984, WADSWORTH ADV BOOKS

[8]

BREIMAN L., 1960, NAV RES LOG, V7, P647

[9]

Bremaud, 1981, POINT PROCESSES QUEU, V50

[10]

DAVIS MHA, 1984, J ROY STAT SOC B MET, V46, P353