A bounded risk strategy for a market with non-observable parameters

Insurance: Mathematics and Economics

Volumn 30, Issue 2, 2002, Pages 243-254

  Dokuchaev, Nikolai G ^a,c   Savkin, Andrey V ^b  

^a ST PETERSBURG STATE UNIVERSITY   (Russian Federation)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

^c UNIVERSITY OF THE WEST INDIES   (Jamaica)

Author keywords

Bounded risk; Non observable parameters; Portfolio selection; Stochastic market models

Indexed keywords

EID: 0036111163     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00106-3     Document Type: Article

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