Dynamic portfolio optimization with transaction costs and state-dependent drift (Q319244)
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scientific article; zbMATH DE number 6633471
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic portfolio optimization with transaction costs and state-dependent drift |
scientific article; zbMATH DE number 6633471 |
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Dynamic portfolio optimization with transaction costs and state-dependent drift (English)
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6 October 2016
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dynamic programming
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numerical methods
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state-dependent drift
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transaction costs
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Markov chain approximation
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