Dynamic Optimization of Investment Portfolio under Liquidity with Taylor Extension of Value function

DOI10.22075/ijnaa.2020.4597OpenAlexW3136115178MaRDI QIDQ5052838

Shadi Shahverdiani, Ali Najafimoghadam, Razieh Fatehpour, Mohsen Hamidian, Zohreh Hajiha

Publication date: 25 November 2022

Full work available at URL: https://doi.org/10.22075/ijnaa.2020.4597

zbMATH Keywords

optimizationportfolioasset liquidity and Taylor extensiondynamics method

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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