Dynamic portfolio optimization with transaction costs and state-dependent drift (Q319244): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 49L20 / rank | |||
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| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / zbMATH DE Number: 6633471 / rank | |||
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dynamic programming | |||
| Property / zbMATH Keywords: dynamic programming / rank | |||
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numerical methods | |||
| Property / zbMATH Keywords: numerical methods / rank | |||
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state-dependent drift | |||
| Property / zbMATH Keywords: state-dependent drift / rank | |||
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transaction costs | |||
| Property / zbMATH Keywords: transaction costs / rank | |||
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Markov chain approximation | |||
| Property / zbMATH Keywords: Markov chain approximation / rank | |||
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Revision as of 02:37, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic portfolio optimization with transaction costs and state-dependent drift |
scientific article |
Statements
Dynamic portfolio optimization with transaction costs and state-dependent drift (English)
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6 October 2016
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dynamic programming
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numerical methods
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state-dependent drift
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transaction costs
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Markov chain approximation
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