Numerical approximation for a portfolio optimization problem under liquidity risk and costs (Q315777): Difference between revisions
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| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| 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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impulse control problem | |||
| Property / zbMATH Keywords: impulse control problem / rank | |||
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optimal transaction strategy | |||
| Property / zbMATH Keywords: optimal transaction strategy / rank | |||
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quantization method | |||
| Property / zbMATH Keywords: quantization method / rank | |||
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viscosity solution | |||
| Property / zbMATH Keywords: viscosity solution / rank | |||
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Revision as of 00:55, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical approximation for a portfolio optimization problem under liquidity risk and costs |
scientific article |
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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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