Two methods for optimal investment with trading strategies of finite variation

DOI10.1093/IMAMAN/DPR009zbMath1245.91090OpenAlexW2334658226MaRDI QIDQ2909351

Bujar Gashi, Paresh Date

Publication date: 30 August 2012

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/12406

zbMATH Keywords

differentiable trading strategieseventual proportional transaction costsingle-period dynamic optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Financial applications of other theories (91G80) Portfolio theory (91G10)

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