Numerical approximation for a portfolio optimization problem under liquidity risk and costs (Q315777): Difference between revisions

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Property / DOI: 10.1007/s00245-015-9311-7 / rank
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Property / author
 
Property / author: Mohammed Mnif / rank
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Property / author
 
Property / author: Mohammed Mnif / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 93E20 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 65C05 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 91G10 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60H30 / rank
 
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Property / zbMATH DE Number
 
Property / zbMATH DE Number: 6629428 / rank
 
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Property / zbMATH Keywords
 
impulse control problem
Property / zbMATH Keywords: impulse control problem / rank
 
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Property / zbMATH Keywords
 
optimal transaction strategy
Property / zbMATH Keywords: optimal transaction strategy / rank
 
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Property / zbMATH Keywords
 
quantization method
Property / zbMATH Keywords: quantization method / rank
 
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Property / zbMATH Keywords
 
viscosity solution
Property / zbMATH Keywords: viscosity solution / rank
 
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Property / MaRDI profile type: MaRDI publication profile / rank
 
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Property / full work available at URL: https://doi.org/10.1007/s00245-015-9311-7 / rank
 
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Property / OpenAlex ID
 
Property / OpenAlex ID: W2136974670 / rank
 
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Property / cites work
 
Property / cites work: Q3355178 / rank
 
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Property / cites work
 
Property / cites work: CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY / rank
 
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Property / cites work: A model of optimal portfolio selection under liquidity risk and price impact / rank
 
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Property / cites work: Optimal Execution with Multiplicative Price Impact / rank
 
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Property / cites work: Portfolio optimisation with strictly positive transaction costs and impulse control / rank
 
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Property / cites work: OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS / rank
 
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Property / cites work: Functional quantization of Gaussian processes / rank
 
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Property / cites work: Functional quantization of a class of Brownian diffusions: a constructive approach / rank
 
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Property / DOI
 
Property / DOI: 10.1007/S00245-015-9311-7 / rank
 
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Latest revision as of 14:12, 9 December 2024

scientific article
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Numerical approximation for a portfolio optimization problem under liquidity risk and costs
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    Numerical approximation for a portfolio optimization problem under liquidity risk and costs (English)
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    23 September 2016
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    impulse control problem
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    optimal transaction strategy
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    quantization method
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    viscosity solution
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    Identifiers

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