Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

DOI10.1016/j.jedc.2006.06.006zbMath1163.91385MaRDI QIDQ1027357

Thangaraj Draviam, Thamayanthi Chellathurai

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.06.006

zbMATH Keywords

dynamic portfolio selection; buy and sell targets; buy/no transaction interface; fixed and proportional transaction costs; sell/no transaction interface

Mathematics Subject Classification ID

93E20: Optimal stochastic control

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G10: Portfolio theory

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