Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints

DOI10.1093/IMAMAN/DPV002zbMath1433.91149OpenAlexW1975156814MaRDI QIDQ5382701

Stefano Baccarin, Daniele Marazzina

Publication date: 18 June 2019

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

Full work available at URL: http://hdl.handle.net/2318/1522983

zbMATH Keywords

quasi-variational inequalitiestransaction costsviscosity solutionsdynamic trading strategiessolvency constraintspassive portfolio management

Mathematics Subject Classification ID

Portfolio theory (91G10)

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