A computational scheme for optimal investment - consumption with proportional transaction costs
type: Item
instance of: scholarly article
title: A computational scheme for optimal investment - consumption with proportional transaction costs
zbMATH Open document ID: 1201.91189
author: Kumar Muthuraman
publication date: 2009-05-18T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5554421
zbMATH Keywords: portfolio optimization
zbMATH Keywords: transaction costs
zbMATH Keywords: stochastic control
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: free boundary
MaRDI profile type: Publication
full work available at URL: j.jedc.2006.04.005
OpenAlex ID: W2025865698
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DOI: 10.1016/J.JEDC.2006.04.005
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5554421