Maximization of the portfolio growth rate under fixed and proportional transaction costs (Q937351)
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scientific article; zbMATH DE number 5312324
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximization of the portfolio growth rate under fixed and proportional transaction costs |
scientific article; zbMATH DE number 5312324 |
Statements
Maximization of the portfolio growth rate under fixed and proportional transaction costs (English)
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14 August 2008
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portfolio optimization
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growth rate
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transaction costs
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incomplete information
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Markov process
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impulsive strategy
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optimal control
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vanishing discount
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