Continuous-Time Markowitz's Model with Transaction Costs (Q3402361): Difference between revisions
From MaRDI portal
Set profile property. |
Changed an Item |
||
| (One intermediate revision by one other user not shown) | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1981768388 / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 0906.0678 / rank | |||
Normal rank | |||
Latest revision as of 16:28, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-Time Markowitz's Model with Transaction Costs |
scientific article |
Statements
Continuous-Time Markowitz's Model with Transaction Costs (English)
0 references
3 February 2010
0 references
continuous-time
0 references
mean-variance
0 references
transaction costs
0 references
singular stochastic control
0 references
planning horizon
0 references
Lagrange multiplier
0 references
double-obstacle problem
0 references
Skorokhod problem
0 references
