Worst-case portfolio optimization with proportional transaction costs
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Publication:2804001
DOI10.1080/17442508.2014.991325zbMath1414.91329OpenAlexW3125382465MaRDI QIDQ2804001
Jörn Sass, Christoph Belak, Olaf Menkens
Publication date: 27 April 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://doras.dcu.ie/20852/1/OA__Uniqueness_of_Viscosity_Solutions.pdf
dynamic programmingportfolio optimizationtransaction costsviscosity solutionsworst-case scenarioscrash modelling
Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
Related Items (7)
OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY ⋮ On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs ⋮ Worst-case optimal investment with a random number of crashes ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Worst-case portfolio optimization in discrete time ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES
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