Optimal Stopping of Active Portfolio Management
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Xiongfei Jian & Xun Li & Fahuai Yi, 2014. "Optimal Investment with Stopping in Finite Horizon," Papers 1406.6940, arXiv.org.
- repec:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0080-y is not listed on IDEAS
More about this item
KeywordsConsumption-portfolio selection; Active management; Passive management; Discretionary stopping time; Recursive utility; Stochastic differential utility; Optimal switching; Ambiguity;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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