Dynamic portfolio selection with nonlinear transaction costs

DOI10.1098/rspa.2005.1518zbMath1311.91169OpenAlexW2125998014MaRDI QIDQ5428305

Thangaraj Draviam, Thamayanthi Chellathurai

Publication date: 21 November 2007

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2005.1518

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic portfolio selectionvanishing viscosity solutionsnonlinear transaction costsnon-singular stochastic optimal control theory

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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