| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 481240 | European Journal of Operational Research | 2010 | 6 Pages |
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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Nikolai Dokuchaev,