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Found 87 Documents (Results 1–87)

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Chen, Hong-Yi; Lee, Cheng Few; Shih, Wei-Kang

Technical, fundamental, and combined information for separating winners from losers. (English) Zbl 1451.91182

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3319-3365 (2021).
MSC:  91G15 62P05
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\textit{H.-Y. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3319--3365 (2021; Zbl 1451.91182)
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Hernández-Hernández, Daniel; Treviño-Aguilar, Erick

A free-model characterization of the asymptotic certainty equivalent by the Arrow-Pratt index. (English) Zbl 1427.91233

Yin, George (ed.) et al., Modeling, stochastic control, optimization, and applications. Selected papers based on invited talks given at the IMA workshop in modeling, stochastic control, optimization, and related applications, Institute for Mathematics and Its Applications, University of Minnesota, Minneapolis, MN, USA, May 1 – June 30, 2018. Cham: Springer. IMA Vol. Math. Appl. 164, 261-281 (2019).
MSC:  91G05 91B16
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\textit{D. Hernández-Hernández} and \textit{E. Treviño-Aguilar}, IMA Vol. Math. Appl. 164, 261--281 (2019; Zbl 1427.91233)
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Ziemba, William T.; MacLean, Leonard C.

Using the Kelly criterion for investing. (English) Zbl 1405.91576

Bertocchi, Marida (ed.) et al., Stochastic optimization methods in finance and energy. New financial products and energy market strategies. Selected papers based on the presentations at the spring school of stochastic programming, Bergamo, Italy, April 10–20, 2007, and the 11th international symposium on stochastic programming (SPXI), Vienna, Austria, August 27–31, 2007. New York, NY: Springer (ISBN 978-1-4419-9585-8/hbk; 978-1-4419-9586-5/ebook). International Series in Operations Research & Management Science 163, 3-20 (2011).
MSC:  91G10
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\textit{W. T. Ziemba} and \textit{L. C. MacLean}, Int. Ser. Oper. Res. Manag. Sci. 163, 3--20 (2011; Zbl 1405.91576)
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Markose, Sheri; Tsang, Edward; Martinez Jaramillo, Serafin

The red queen principle and the emergence of efficient financial markets: an agent based approach. (English) Zbl 1103.91040

Lux, Thomas (ed.) et al., Nonlinear dynamics and heterogeneous interacting agents. Selected papers from the workshop on economics with heterogeneous interacting agents (WEHIA 03), Kiel, Germany, May 29–31, 2003. Berlin: Springer (ISBN 3-540-22237-5/pbk). Lecture Notes in Economics and Mathematical Systems 550, 287-303 (2005).
MSC:  91B28 91B26
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\textit{S. Markose} et al., Lect. Notes Econ. Math. Syst. 550, 287--303 (2005; Zbl 1103.91040)
Runggaldier, Wolfgang J.

On stochastic control in finance. (English) Zbl 1156.93408

Rosenthal, Joachim (ed.) et al., Mathematical systems theory in biology, communications, computation, and finance. Papers presented at the 15th international symposium on mathematical theory of networks and systems (MTNS), Notre Dame, IN, USA, August 12–16, 2002. New York, NY: Springer (ISBN 0-387-40319-1/hbk). IMA Vol. Math. Appl. 134, 317-344 (2003).
MSC:  93E20 91G80 91B70 93E35 93E11 91B30 90B50
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\textit{W. J. Runggaldier}, IMA Vol. Math. Appl. 134, 317--344 (2003; Zbl 1156.93408)
Dokuchaev, Nikolai

Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information. (English) Zbl 0997.91023

International Series in Operations Research & Management Science. 47. Boston: Kluwer Academic Publishers. xxvi, 199 p. (2002).
Reviewer: Yu.S.Mishura (Kyïv)
MSC:  91B28 91-02
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\textit{N. Dokuchaev}, Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information. Boston: Kluwer Academic Publishers (2002; Zbl 0997.91023)
Bielecki, Tomasz R.; Pliska, Stanley R.

Risk sensitive control with applications to mixed income portfolio management. (English) Zbl 1047.91023

Casacuberta, Carles (ed.) et al., 3rd European congress of mathematics (ECM), Barcelona, Spain, July 10–14, 2000. Volume II. Basel: Birkhäuser (ISBN 3-7643-6418-1/hbk; 3-7643-6419-X/set). Prog. Math. 202, 331-345 (2001).
MSC:  91B28 60J20
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\textit{T. R. Bielecki} and \textit{S. R. Pliska}, Prog. Math. 202, 331--345 (2001; Zbl 1047.91023)
Merton, Robert C.

Optimal investment strategies for university endowment funds. (English) Zbl 0933.91014

Ziemba, William T. (ed.) et al., Worldwide asset and liability modeling. Research seminar, Cambridge Univ., GB, May 15–20, 1995. Cambridge: Cambridge Univ. Press. 371-396 (1998).
Reviewer: T.Cipra (Praha)
MSC:  91G10 91B42 90C15 60H99
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\textit{R. C. Merton}, in: Worldwide asset and liability modeling. Research seminar, Cambridge Univ., GB, May 15--20, 1995. Cambridge: Cambridge Univ. Press. 371--396 (1998; Zbl 0933.91014)
Lucas, C.; Messina, E.; Mitra, G.

Risk and return analysis of a multi-period strategic planning problem. (English) Zbl 0878.90059

Christer, Anthony H. (ed.) et al., Stochastic modelling in innovative manufacturing. Selected papers of the UK-Japanese workshop, Cambridge, UK, July 20–21, 1995. Berlin: Springer. Lect. Notes Eng. 445, 81-96 (1997).
MSC:  90B30 93E03
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\textit{C. Lucas} et al., in: Stochastic modelling in innovative manufacturing. Selected papers of the UK-Japanese workshop, Cambridge, UK, July 20--21, 1995. Berlin: Springer. 81--96 (1997; Zbl 0878.90059)

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