IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v84y1995i2p265-278.html
   My bibliography  Save this article

Alternative growth versus security in continuous dynamic trading

Author

Listed:
  • Dohi, T.
  • Tanaka, H.
  • Kaio, N.
  • Osaki, S.

Abstract

No abstract is available for this item.

Suggested Citation

  • Dohi, T. & Tanaka, H. & Kaio, N. & Osaki, S., 1995. "Alternative growth versus security in continuous dynamic trading," European Journal of Operational Research, Elsevier, vol. 84(2), pages 265-278, July.
    • Handle: RePEc:eee:ejores:v:84:y:1995:i:2:p:265-278
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0377-2217(93)E0320-W
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. K. O. Cogger & O. M. Joy & W. Ruland & P. L. Yu, 1983. "A Goal Seeking Investment Model," Management Science, INFORMS, vol. 29(9), pages 1027-1036, September.
    2. L. C. MacLean & W. T. Ziemba & G. Blazenko, 1992. "Growth Versus Security in Dynamic Investment Analysis," Management Science, INFORMS, vol. 38(11), pages 1562-1585, November.
    3. Pyle, David H & Turnovsky, Stephen J, 1970. "Safety-First and Expected Utility Maximization in Mean-Standard Deviation Portfolio Analysis," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 75-81, February.
    4. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Li, Zhongfei & Yao, Jing & Li, Duan, 2010. "Behavior patterns of investment strategies under Roy's safety-first principle," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 167-179, May.
    2. Paolo Laureti & Matus Medo & Yi-Cheng Zhang, 2010. "Analysis of Kelly-optimal portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 689-697.
    3. Grauer, Robert R., 2013. "Limiting losses may be injurious to your wealth," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5088-5100.
    4. Chung-Han Hsieh & B. Ross Barmish & John A. Gubner, 2017. "Kelly Betting Can Be Too Conservative," Papers 1710.01786, arXiv.org.
    5. Anne Lavigne, 2006. "Gouvernance et investissement des fonds de pension privés aux Etats-Unis," Working Papers halshs-00081401, HAL.
    6. An Chen & Thai Nguyen & Thorsten Sehner, 2022. "Unit-Linked Tontine: Utility-Based Design, Pricing and Performance," Risks, MDPI, vol. 10(4), pages 1-27, April.
    7. Alan J. Auerbach, 1981. "Evaluating the Taxation of Risky Assets," NBER Working Papers 0806, National Bureau of Economic Research, Inc.
    8. Hong, Claire Yurong & Lu, Xiaomeng & Pan, Jun, 2021. "FinTech adoption and household risk-taking," BOFIT Discussion Papers 14/2021, Bank of Finland Institute for Emerging Economies (BOFIT).
    9. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    10. Auffret, Philippe, 2001. "An alternative unifying measure of welfare gains from risk-sharing," Policy Research Working Paper Series 2676, The World Bank.
    11. Luca De Gennaro Aquino & Sascha Desmettre & Yevhen Havrylenko & Mogens Steffensen, 2024. "Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time," Papers 2407.16525, arXiv.org, revised Oct 2024.
    12. Chen, An & Hieber, Peter & Sureth, Caren, 2022. "Pay for tax certainty? Advance tax rulings for risky investment under multi-dimensional tax uncertainty," arqus Discussion Papers in Quantitative Tax Research 273, arqus - Arbeitskreis Quantitative Steuerlehre.
    13. Mayank Goel & Suresh Kumar K., 2006. "A Risk-Sensitive Portfolio Optimisation Problem with Stochastic Interest Rate," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(3), pages 263-282, December.
    14. Andreas Fagereng & Luigi Guiso & Davide Malacrino & Luigi Pistaferri, 2020. "Heterogeneity and Persistence in Returns to Wealth," Econometrica, Econometric Society, vol. 88(1), pages 115-170, January.
    15. Yuqian Xu & Lingjiong Zhu & Michael Pinedo, 2020. "Operational Risk Management: A Stochastic Control Framework with Preventive and Corrective Controls," Operations Research, INFORMS, vol. 68(6), pages 1804-1825, November.
    16. Yuki SHIGETA, 2022. "A Continuous-Time Utility Maximization Problem with Borrowing Constraints in Macroeconomic Heterogeneous Agent Models:A Case of Regular Controls under Markov Chain Uncertainty," Discussion papers e-22-009, Graduate School of Economics , Kyoto University.
    17. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
    18. Young, Douglas & Lin, William & Pope, Rulon & Robison, Lindon & Selley, Roger, 1979. "Risk Preferences Of Agricultual Producers:Their Measurement And Use," Risk Management in Agriculture: Behavioral, Managerial, and Policy Issues, January 25-26, 1979, San Francisco, California 271459, Regional Research Projects > W-149: An Economic Evaluation of Managing Market Risks in Agriculture.
    19. Dokuchaev, Nikolai, 2010. "Optimality of myopic strategies for multi-stock discrete time market with management costs," European Journal of Operational Research, Elsevier, vol. 200(2), pages 551-556, January.
    20. Mr. Christopher Carroll & Mr. Martin Sommer & Mr. Jiri Slacalek, 2012. "Dissecting Saving Dynamics: Measuring Wealth, Precautionary, and Credit Effects," IMF Working Papers 2012/219, International Monetary Fund.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:84:y:1995:i:2:p:265-278. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.