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Selçuk Journal
of
Applied Mathematics
SPECIAL ISSUE
Summer-Autumn, 2001
Volume 2
Number 2
Research Center
of
Applied Mathematics
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SJAM
Summer-Autumn 2001, Volume 2 - Number 2
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Stochastic
models for optimal investment
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Ralf Korn |
Fachbereich Mathematik,Universität Kaiserslautern
Fraunhofer ITWM Kaiserslautern 67653 Kaiserslautern, Germany
email: korn@mathematik.uni-kl.de
Received: November 05, 2001
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Summary
We review some stochastic approaches to the problem of optimally investing money at a securities market. Besides the simple Markowitz one-period approach and the standard continuous-time solution in the Black-Scholes setting we also shortly highlight
the portfolio optimization problem under transaction costs.
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Key
words
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Mathematics Subject Classification (1991): 93E20
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Article
in PS format (109 kb) |
Article in ZIP
format (44 kb) |
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