Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. II (Q2478408): Difference between revisions

The author considers an infinite time horizon hereditary portfolio optimization problem and, in this second part of the paper, the present the verification theorem for the optimal strategy. For Part I, cf. [ibid. 2007, Article ID 82753, 33 p. (2007; Zbl 1145.91021)].

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reviewed by

Gheorghe Stoica

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MaRDI profile type

MaRDI publication profile

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cites work

Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. II

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Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

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Q4002114

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Dynamic programming in stochastic control of systems with delay

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Identifiers

zbMATH Open document ID

1145.91022

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DOI

10.1155/2007/40149

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2478408

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+Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. II
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+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic programming in stochastic control of systems with delay
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