Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets.
Yan ZengZhongfei LiHuiling WuPublished in: Int. J. Control (2013)
Keyphrases
- portfolio selection
- financial markets
- optimal portfolio
- transaction costs
- cash flow
- financial institutions
- portfolio management
- portfolio optimization
- stock market
- stock price
- investment strategies
- dynamic programming
- expected utility
- optimal solution
- stock exchange
- data mining
- investment decisions
- real option
- artificial intelligence
- decision making
- risk management
- data warehouse
- long term