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Dynamic portfolio selection with nonlinear transaction costs - MaRDI portal

Dynamic portfolio selection with nonlinear transaction costs (Q5428305)

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scientific article; zbMATH DE number 5213592
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English
Dynamic portfolio selection with nonlinear transaction costs
scientific article; zbMATH DE number 5213592

    Statements

    title
    Dynamic portfolio selection with nonlinear transaction costs (English)
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    publication date
    21 November 2007
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    zbMATH Keywords
    dynamic portfolio selection
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    nonlinear transaction costs
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    non-singular stochastic optimal control theory
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    Hamilton-Jacobi-Bellman equation
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    vanishing viscosity solutions
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    cites work
    Q3994335
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    Q3755824
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    Q4356582
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    Q3355178
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    Q4086303
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    Q4032143
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    Q3760262
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    Q3910361
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    Q4794152
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    Q3818971
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    Q3754586
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    Q4356587
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    Q4356592
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    49L20
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    93E20
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    zbMATH DE Number
    5213592
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    OpenAlex ID
    W2125998014
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