An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes

DOI10.1016/j.amc.2007.02.100zbMath1193.91137OpenAlexW2063484398MaRDI QIDQ990425

U. Jin Choi, Bong-Gyu Jang, Hyeng Keun Koo

Publication date: 1 September 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.02.100

zbMATH Keywords

free boundarytransaction costoptimal consumptionoptimal investmentrandom lifetime

Mathematics Subject Classification ID

Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Cites Work

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• Transactions costs and portfolio choice in a discrete-continuous-time setting
• Optimal investment and consumption with transaction costs
• Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
• Randomization and the American Put
• Portfolio Selection with Transaction Costs