Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
type: Item
instance of: scholarly article
title: Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
zbMATH Open document ID: 1231.91400
author: T. Duncan
author: B. Pasik-Duncan
author: Łukasz Stettner
published in: Applied Mathematics and Optimization
publication date: 2011-02-18T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5852816
zbMATH Keywords: Markov process
zbMATH Keywords: Bellman equation
zbMATH Keywords: penalty equation
zbMATH Keywords: impulsive control
zbMATH Keywords: portfolio optimization
MaRDI profile type: Publication
full work available at URL: s00245-010-9113-x
OpenAlex ID: W2141805305
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DOI: 10.1007/S00245-010-9113-X
description: scientific article; zbMATH DE number 5852816