Optimal consumption and investment problems under GARCH with transaction costs
type: Item
instance of: scholarly article
title: Optimal consumption and investment problems under GARCH with transaction costs
zbMATH Open document ID: 1111.91015
author: Zhiping Chen
author: Kam Chuen Yuen
published in: Mathematical Methods of Operations Research
publication date: 2005-06-16T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 91B42
Mathematics Subject Classification ID: 49J40
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 2176409
zbMATH Keywords: consumption and investment problems
zbMATH Keywords: stochastic programming
zbMATH Keywords: decomposition
zbMATH Keywords: augmented Lagrangian
MaRDI profile type: Publication
full work available at URL: s001860400396
OpenAlex ID: W2049550762
DOI: 10.1007/S001860400396
description: scientific article; zbMATH DE number 2176409