Optimal stopping investment in a logarithmic utility-based portfolio selection problem
Abstract Background In this paper, we study the right time for an investor to stop the investment over a given investment horizon so as to obtain as close to the highest possible wealth as possible, according to a Logarithmic utility-maximization objective involving the portfolio in the drift and vo...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2017-11-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s40854-017-0080-y |