Long-Term Optimal Investment Strategies in the Presence of Adjustment Costs

DOI10.1137/110845471zbMath1422.91661OpenAlexW2044803601MaRDI QIDQ2840126

Arne Løkka, Mihail Zervos

Publication date: 17 July 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b3f0d492888a883d6e26559b96543539849073b4

zbMATH Keywords

ergodic controlsingular stochastic controlinvestment capacity expansion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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