Continuous-Time Markowitz's Model with Transaction Costs (Q3402361): Difference between revisions
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Revision as of 12:06, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-Time Markowitz's Model with Transaction Costs |
scientific article |
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Continuous-Time Markowitz's Model with Transaction Costs (English)
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3 February 2010
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continuous-time
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mean-variance
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transaction costs
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singular stochastic control
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planning horizon
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Lagrange multiplier
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double-obstacle problem
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Skorokhod problem
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