Multi-asset portfolio selection problem with transaction costs (Q1897670): Difference between revisions

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Latest revision as of 16:09, 23 May 2024

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Multi-asset portfolio selection problem with transaction costs
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    Multi-asset portfolio selection problem with transaction costs (English)
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    4 September 1995
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    portfolio selection
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    transaction costs
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    viscosity solution
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    dynamic programming
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    variational inequality
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    optimal consumption and investment policy
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    log-normal diffusions
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    multigrid methods
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