Growth optimal portfolio selection under proportional transaction costs with obligatory diversification (Q626431)
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scientific article; zbMATH DE number 5852816
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Growth optimal portfolio selection under proportional transaction costs with obligatory diversification |
scientific article; zbMATH DE number 5852816 |
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Growth optimal portfolio selection under proportional transaction costs with obligatory diversification (English)
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18 February 2011
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Markov process
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Bellman equation
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penalty equation
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impulsive control
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portfolio optimization
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