Optimal consumption and investment problems under GARCH with transaction costs (Q1781142): Difference between revisions
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| Property / DOI: 10.1007/s001860400396 / rank | |||
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Latest revision as of 12:11, 11 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal consumption and investment problems under GARCH with transaction costs |
scientific article |
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Optimal consumption and investment problems under GARCH with transaction costs (English)
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16 June 2005
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consumption and investment problems
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stochastic programming
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decomposition
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augmented Lagrangian
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