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Explicit Representation of Cost-Efficient Strategies · Study

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PreprintExplicit Representation of Cost-Efficient Strategies

Carole Bernard2012

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Preprintgreen2012

Explicit Representation of Cost-Efficient Strategies

Carole Bernard · Phelim P. Boyle · Steven Vanduffel

29 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1992Advances in prospect theory: Cumulative representation of uncertainty 1952PORTFOLIO SELECTION*1971Optimum consumption and portfolio rules in a continuous-time model 1980On estimating the expected return on the market 1952Safety First and the Holding of Assets 1947Theory of Games and Economic Behavior 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices

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Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1561272

openalex_workW2159350000

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