Portfolio Selection with Transaction Costs
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Publication:5749130
DOI10.1287/moor.15.4.676zbMath0717.90007OpenAlexW2115580984WikidataQ29039367 ScholiaQ29039367MaRDI QIDQ5749130
Mark H. A. Davis, A. R. Norman
Publication date: 1990
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/05d99ef6e8aab39625ca5c57b6e790fae1c479d3
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Optimal stochastic control (93E20) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10)
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