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Minimizing the expected market time to reach a certain wealth level
Num´ eraire portfolio growth-optimal portfolio market time upcrossing overshoot exponential L´ evy markets Itˆ o markets semimartingale markets
2010/11/1
In a financial market model, we consider variations of the problem of minimizing the
expected time to upcross a certain wealth level. For exponential L´evy markets, we show the asymptotic optim...