A computational scheme for optimal investment - consumption with proportional transaction costs (Q1017027)
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scientific article; zbMATH DE number 5554421
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A computational scheme for optimal investment - consumption with proportional transaction costs |
scientific article; zbMATH DE number 5554421 |
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A computational scheme for optimal investment - consumption with proportional transaction costs (English)
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18 May 2009
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portfolio optimization
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transaction costs
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stochastic control
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Hamilton-Jacobi-Bellman equation
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free boundary
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