Optimality of myopic strategies for multi-stock discrete time market with management costs

Nikolai Dokuchaev

European Journal of Operational Research, 2010, vol. 200, issue 2, pages 551-556

Abstract: The paper studies multi-stock discrete time market models with serial correlations and with some management costs. We found a market structure that ensures that the optimal strategy is myopic for the case of either power or log utility function.

Keywords: Finance; Optimal; control; Stochastic; processes (search for similar items in EconPapers)
Date: 2010

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Persistent link: http://EconPapers.repec.org/RePEc:eee:ejores:v:200:y:2010:i:2:p:551-556

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