Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Admissible investment strategies in continuous trading

12 references·1 citing·38 second hop

FromToDepth

this work references cited by second hop

References

1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
1981Point Processes and Queues1,652 cited
1979Controlled Stochastic Processes351 cited
1970Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems164 cited
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.144 cited
1960Investment policies for expanding businesses optimal in a long‐run sense117 cited
1984Optimum portfolio diversification in a general continuous-time model100 cited
1985Information structure and equilibrium asset prices87 cited
1988Contingent claims valuation when the security price is a combination of an Ito process and a random point process86 cited
1987Minimizing or Maximizing the Expected Time to Reach Zero66 cited
1975Stochastic Optimization Models in Finance34 cited

Cited by

2009MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS17 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work