scientific article; zbMATH DE number 1069625

zbMath0898.90037MaRDI QIDQ4356587

Agnès Sulem

Publication date: 1 October 1997

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

dynamic programmingvariational inequalityrisky assetsMerton problemfinite horizon problemdynamic optimization of portfoliossingular stochastic problemstransaction cost problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Microeconomic theory (price theory and economic markets) (91B24) Dynamic programming (90C39)

Related Items (4)

Dynamic portfolio selection with nonlinear transaction costs ⋮ Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory ⋮ Optimal portfolio selection under vanishing fixed transaction costs ⋮ Optimal portfolio policies under fixed and proportional transaction costs

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