Stochastic programming method for multiperiod consumption and investment problems with transactions costs (Q2571163): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Latest revision as of 07:37, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic programming method for multiperiod consumption and investment problems with transactions costs |
scientific article |
Statements
Stochastic programming method for multiperiod consumption and investment problems with transactions costs (English)
0 references
1 November 2005
0 references
GARCH model
0 references
branch-decomposition algorithm
0 references
multiperiod optimal investment
0 references
