Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (Q1027357): Difference between revisions

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scientific article

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English	Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory	scientific article

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instance of

scholarly article

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title

Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (English)

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zbMATH Open document ID

1163.91385

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DOI

10.1016/j.jedc.2006.06.006

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author

Thamayanthi Chellathurai

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Thangaraj Draviam

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published in

Journal of Economic Dynamics \& Control

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publication date

1 July 2009

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Mathematics Subject Classification ID

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dynamic portfolio selection

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fixed and proportional transaction costs

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buy/no transaction interface

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sell/no transaction interface

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buy and sell targets

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jedc.2006.06.006

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OpenAlex ID

W1989259113

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cites work

On an Investment-Consumption Model with Transaction Costs

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Intertemporal portfolio optimization with small transaction costs and stochastic variance

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Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

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Portfolio Selection with Transaction Costs

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European Option Pricing with Transaction Costs

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Optimal Impulse Control of Portfolios

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Q4086303

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Q4032143

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Impulse control of portfolios with jumps and transaction costs

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Q3994335

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Portfolio optimisation with strictly positive transaction costs and impulse control

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Q3910361

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Portfolio selection with transactions costs

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Optimum consumption and portfolio rules in a continuous-time model

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Option pricing with transaction costs using a Markov chain approximation

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Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

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Optimal investment and consumption with transaction costs

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0 references

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0 references

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European option pricing and hedging with both fixed and proportional transaction costs

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Sitelinks

Mathematics(1 entry)

mardi Publication:1027357

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+On an Investment-Consumption Model with Transaction Costs
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+Intertemporal portfolio optimization with small transaction costs and stochastic variance
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+Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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+Portfolio Selection with Transaction Costs
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+European Option Pricing with Transaction Costs
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@@ Property / cites work @@
+Optimal Impulse Control of Portfolios
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@@ Property / cites work @@
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@@ Property / cites work: Q4086303 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Impulse control of portfolios with jumps and transaction costs
+Normal rank
@@ Property / cites work @@
+Q3994335
@@ Property / cites work: Q3994335 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimisation with strictly positive transaction costs and impulse control
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@@ Property / cites work @@
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+Normal rank
@@ Property / cites work @@
+Portfolio selection with transactions costs
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+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Option pricing with transaction costs using a Markov chain approximation
+Normal rank
@@ Property / cites work @@
+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+Q3818971
@@ Property / cites work: Q3818971 / rank @@
+Normal rank
@@ Property / cites work @@
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@@ Property / cites work @@
+European option pricing and hedging with both fixed and proportional transaction costs
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