25 citations · 48 across the 13 of their papers we have counts for
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q-fin.PM2019
Learning Threshold-Type Investment Strategies with Stochastic Gradient Method
Zsolt Nika, Miklós Rásonyi
In online portfolio optimization the investor makes decisions based on new, continuously incoming information on financial assets (typically their prices). In our study we consider…
q-fin.PM2014★ 1 cited
Optimal investment under behavioural criteria -- a dual approach
Miklós Rásonyi, José G. Rodríguez-Villarreal
We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in…