Numerical approximation for a portfolio optimization problem under liquidity risk and costs (Q315777)
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scientific article; zbMATH DE number 6629428
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical approximation for a portfolio optimization problem under liquidity risk and costs |
scientific article; zbMATH DE number 6629428 |
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Numerical approximation for a portfolio optimization problem under liquidity risk and costs (English)
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23 September 2016
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impulse control problem
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optimal transaction strategy
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quantization method
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viscosity solution
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