Optimal consumption and investment problems under GARCH with transaction costs (Q1781142)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal consumption and investment problems under GARCH with transaction costs |
scientific article |
Statements
Optimal consumption and investment problems under GARCH with transaction costs (English)
0 references
16 June 2005
0 references
consumption and investment problems
0 references
stochastic programming
0 references
decomposition
0 references
augmented Lagrangian
0 references
