An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
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Publication:3581020
DOI10.1137/080723776zbMath1196.91052OpenAlexW2081080078MaRDI QIDQ3581020
Publication date: 16 August 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/080723776
convex optimizationportfolio optimizationtransaction costsrisk controlstrategic asset allocationDynamic optimizationmultistage decision problemsaffinely parameterized control function.
Convex programming (90C25) Numerical methods based on nonlinear programming (49M37) Portfolio theory (91G10)
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