Selšuk Journal of Applied Mathematics

www.selcuk.edu.tr




 Selšuk Journal of
  Applied Mathematics

SPECIAL ISSUE

 
Summer-Autumn, 2001
  Volume  2
  Number 2

 
Research Center of 
  Applied Mathematics


 SJAM Summer-Autumn 2001, Volume 2 - Number 2

Stochastic models for optimal investment

Ralf Korn
Fachbereich Mathematik,Universitńt Kaiserslautern Fraunhofer ITWM Kaiserslautern 67653 Kaiserslautern, Germany
email: korn@mathematik.uni-kl.de

Received: November 05, 2001
 

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.

 

Key words

 

Mathematics Subject Classification (1991): 93E20
 
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