Multi-asset portfolio selection problem with transaction costs (Q1897670)
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scientific article; zbMATH DE number 792988
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-asset portfolio selection problem with transaction costs |
scientific article; zbMATH DE number 792988 |
Statements
Multi-asset portfolio selection problem with transaction costs (English)
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4 September 1995
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portfolio selection
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transaction costs
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viscosity solution
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dynamic programming
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variational inequality
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optimal consumption and investment policy
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log-normal diffusions
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multigrid methods
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0.9581692
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0.9225477
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0.91730773
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0.9130944
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0.90954226
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