Dynamic portfolio optimization with transaction costs and state-dependent drift

DOI10.1016/j.ejor.2014.12.040zbMath1346.91217WikidataQ57949117 ScholiaQ57949117MaRDI QIDQ319244

Jan Palczewski, Huamao Wang, Rolf Poulsen, Klaus Reiner Schenk-Hoppé

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://eprints.whiterose.ac.uk/83104/1/PPSHW_2014_12_16-EJOR-Revision.pdf

zbMATH Keywords

dynamic programming; numerical methods; transaction costs; Markov chain approximation; state-dependent drift

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

91G10: Portfolio theory

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