Dokuchaev Nikolai

Nikolai Dokuchaev

Information about the author Nikolai Dokuchaev will soon be added to the site.
Found 4 papers in total
Mean‐reverting discrete time market models: speculative opportunities and absence of arbitrage
Mean‐reverting discrete time market models: speculative opportunities and absence of arbitrage
2012
In this article, we study discrete time mean‐reverting market models. We show...
Discrete time market with serial correlations and optimal myopic strategies
Discrete time market with serial correlations and optimal myopic strategies
2007
The paper studies discrete time market models with serial correlations. We found a...
Maximin investment problems for discounted and total wealth
Maximin investment problems for discounted and total wealth
2008
We study an optimal investment problem for a continuous-time incomplete market model...
Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation
Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation
2006
We study optimal investment problem for a market model where the evolution of risky...
Papers per page: