Maximization of the portfolio growth rate under fixed and proportional transaction costs

DOI10.4310/CIS.2007.V7.N1.A3zbMath1140.91405OpenAlexW2067531217WikidataQ59903978 ScholiaQ59903978MaRDI QIDQ937351

Jan Palczewski, Łukasz Stettner

Publication date: 14 August 2008

Published in: Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.cis/1184963897

zbMATH Keywords

optimal controlMarkov processgrowth rateportfolio optimizationtransaction costsincomplete informationvanishing discountimpulsive strategy

Mathematics Subject Classification ID

Related Items (1)

Problems of Mathematical Finance by Stochastic Control Methods

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