摘要翻译：
在银行投资组合中，建立了一个具有多变量利润函数的竞争市场模型，该模型假设客户的股票行为是“Zeitnot”的，并从最优策略设计的角度进行了分析。给出了一种求解单变量和双变量利润函数最优选择策略的关联马尔可夫过程方法。在一定的银行“促销”参数关于错过股票组合交易的“费用”的条件下，在一个渐近足够大的投资组合数量下，得到了确定单变和双变利润函数竞争策略中最优股票组合选择的泛超越方程。
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英文标题：
《Statistically Optimal Strategy Analysis of a Competing Portfolio Market
  with a Polyvariant Profit Function》
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作者：
Bohdan Yu. Kyshakevych, Anatoliy K. Prykarpatsky, Denis Blackmore,
  Ivan P. Tverdokhlib
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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英文摘要：
  A competing market model with a polyvariant profit function that assumes "zeitnot" stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective of devising optimal strategies. An associated Markov process method for finding an optimal choice strategy for monovariant and bivariant profit functions is developed. Under certain conditions on the bank "promotional" parameter with respect to the "fee" for a missed share package transaction and at an asymptotically large enough portfolio volume, universal transcendental equations - determining the optimal share package choice among competing strategies with monovariant and bivariant profit functions - are obtained.
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PDF链接：
https://arxiv.org/pdf/1005.2661