Impulsive control of portfolios (Q2384779): Difference between revisions
From MaRDI portal
Set profile property. |
Normalize DOI. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / DOI | |||
| Property / DOI: 10.1007/s00245-007-0880-y / rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1977010568 / rank | |||
Normal rank | |||
| Property / DOI | |||
| Property / DOI: 10.1007/S00245-007-0880-Y / rank | |||
Normal rank | |||
Latest revision as of 08:00, 18 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Impulsive control of portfolios |
scientific article |
Statements
Impulsive control of portfolios (English)
0 references
10 October 2007
0 references
In this paper, a general model of a market with asset prices and economical factors of Markovian structure is considered. The problem is to maximize a given infinite horizon reward functional by changing portfolio strategy of impulsive form with transaction cost. Under mild conditions, the authors proved that there exists an optimal impulse strategy and the value function is a solution of Bellman equation which corresponds to suitable quasi-variational inequalities. Various examples are presented.
0 references
Markov process
0 references
impulsive control
0 references
Bellman equation
0 references
portfolio optimization
0 references
transaction costs
0 references
