An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes (Q990425)
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scientific article; zbMATH DE number 5776942
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes |
scientific article; zbMATH DE number 5776942 |
Statements
An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes (English)
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1 September 2010
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optimal investment
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optimal consumption
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transaction cost
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random lifetime
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free boundary
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