Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management
We study a variety of optimal investment problems for objectives related to attaining goals by a fixed terminal time. We start by finding the policy that maximizes the probability of reaching a given wealth level by a given fixed terminal time, for the case where an investor can allocate his wealth...
| Veröffentlicht in: | Advances in Applied Probability. - Applied Probability Trust. - 31(1999), 2, Seite 551-577 |
|---|---|
| 1. Verfasser: | |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1999
|
| Zugriff auf das übergeordnete Werk: | Advances in Applied Probability |
| Schlagworte: | Optimal gambling Stochastic control Portfolio theory Martingales Option pricing Hedging strategies Digital options Economics Behavioral sciences Business |
| Online verfügbar |
Volltext |