Display Abstract

Title Closed form solutions to discrete time portfolio optimization problems

Name Mathias Goeggel
Country Germany
Email mgz67@mst.edu
Co-Author(s) Martin Bohner
Submit Time 2010-02-24 20:35:02
Session
Special Session 48: Differential, Difference, and Dynamic Equations
Contents
We introduce a discrete time portfolio process, modeled by difference and stochastic difference equations. We give closed form solutions to different discrete time portfolio optimization problems. We also provide examples to illustrate the difference between these optimization problems.