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Optimization problem for a portfolio with an illiquid asset: Lie group analysis - MaRDI portal

Optimization problem for a portfolio with an illiquid asset: Lie group analysis (Q2627916)

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Optimization problem for a portfolio with an illiquid asset: Lie group analysis
scientific article

    Statements

    title
    Optimization problem for a portfolio with an illiquid asset: Lie group analysis (English)
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    author
    Ivan P. Yamshchikov
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    Ljudmila A. Bordag
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    publication date
    9 June 2017
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    zbMATH Keywords
    Lie group analysis
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    invariant reductions
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    portfolio optimization
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    illiquidity
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    Identifiers

    zbMATH DE Number
    6728785
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    OpenAlex ID
    W2211927556
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    Wikidata QID
    Q115345993
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    arXiv ID
    1512.06295
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