Optimal investment in the foreign exchange market with proportional transaction costs
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Publication:3005820
DOI10.1080/14697680903460150zbMath1214.91109OpenAlexW2108284982MaRDI QIDQ3005820
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Publication date: 9 June 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903460150
control of stochastic systemsconsumption-portfolio choiceapplied mathematical financecontinuous time dynamic finance
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- A computational scheme for optimal investment - consumption with proportional transaction costs
- Convex duality in constrained portfolio optimization
- Portfolio selection with transactions costs
- Optimal investment and consumption with transaction costs
- Asymptotic analysis of optimal investment and consumption with transaction costs.
- Consumption-investment problems with transaction costs: Survey and open problems
- Controlled Markov processes and viscosity solutions
- On the existence and unicity of solutions of stochastic integral equations
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- Portfolio Selection with Transaction Costs
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