Multi-asset portfolio selection problem with transaction costs
type: Item
instance of: scholarly article
title: Multi-asset portfolio selection problem with transaction costs
zbMATH Open document ID: 0830.90006
DOI: 10.1016/0378-4754(93)E0079-K
author: Marianne Akian
author: Agnès Sulem
author: José-Luis Menaldi
published in: Mathematics and Computers in Simulation
publication date: 1995-09-04T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 49L20
zbMATH DE Number: 792988
zbMATH Keywords: portfolio selection
zbMATH Keywords: transaction costs
zbMATH Keywords: viscosity solution
zbMATH Keywords: dynamic programming
zbMATH Keywords: variational inequality
zbMATH Keywords: optimal consumption and investment policy
zbMATH Keywords: log-normal diffusions
zbMATH Keywords: multigrid methods
MaRDI profile type: Publication
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cites work: Optimal Investment and Consumption With Two Bonds and Transaction Costs1
cites work: A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
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description: scientific article; zbMATH DE number 792988