
OPTIMAL INVESTMENT WITH MULTIPLE RISKY ASSETS UNDER SHORT-SELLING PROHIBITION IN A PERIODIC ENVIRONMENT
Shanshan WANG,Chunsheng ZHANG
Journal of Systems Science & Complexity ›› 2012, Vol. 25 ›› Issue (4) : 691-706.
OPTIMAL INVESTMENT WITH MULTIPLE RISKY ASSETS UNDER SHORT-SELLING PROHIBITION IN A PERIODIC ENVIRONMENT
Adjustment coefficient, exponential utility, It&circ / o formula, optimal strategy, periodic environment, ruin probability. {{custom_keyword}} /
This research is supported by National Basic Research Program of China (973 Program) under Grant No. 2007CB814905 and the Natural Science Foundation of China under Grant No. 11171164.
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