GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS (Q4653044)
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scientific article; zbMATH DE number 2139711
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS |
scientific article; zbMATH DE number 2139711 |
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GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS (English)
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28 February 2005
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Statistical finance
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Markov process
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exponential growth rate
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transaction costs
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stochastic optimization
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multiscale analysis
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