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ArticleAdmissible investment strategies in continuous trading

Knut Kristian Aase1988

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Articlebronze1988

Admissible investment strategies in continuous trading

Knut Kristian Aase · Bernt Øksendal

19 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1981Martingales and stochastic integrals in the theory of continuous trading 1981Point Processes and Queues 1979Controlled Stochastic Processes 1970Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems 1975Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere.1960Investment policies for expanding businesses optimal in a long‐run sense 1984Optimum portfolio diversification in a general continuous-time model

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2009MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS

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2012On the History of the Growth-Optimal Portfoliochapter · 7 shared references 1986Ruin problems and myopic portfolio optimization in continuous tradingarticle · 5 shared references 1988Contingent claims valuation when the security price is a combination of an Ito process and a random point processarticle · 4 shared references 2011Machine Learning for Financial Engineeringbook · 4 shared references 1992Dynamic Equilibrium and the Structure of Premiums in a Reinsurance Marketarticle · 4 shared references 1997Backward Stochastic Differential Equations in Financearticle · 3 shared references

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Year1988

Typearticle

Published1988-12-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-4149(88)90090-7

openalex_workW2014344862

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