An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs (Q3581020): Difference between revisions
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Latest revision as of 02:08, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs |
scientific article |
Statements
An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs (English)
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16 August 2010
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Dynamic optimization
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strategic asset allocation
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multistage decision problems
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risk control
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convex optimization
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portfolio optimization
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transaction costs
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affinely parameterized control function.
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