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Optimal investment with operating costs proportional to the capital portfolio - MaRDI portal

Optimal investment with operating costs proportional to the capital portfolio

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Publication:4375228

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DOI10.1070/RM1996V051N06ABEH003019zbMath0885.90015OpenAlexW2084059105MaRDI QIDQ4375228

S. N. Volkov

Publication date: 1 February 1998

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm1996v051n06abeh003019

zbMATH Keywords

Wiener processes stochastic differential equations optimal investment strategy

Mathematics Subject Classification ID

Economic growth models (91B62)

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