Can continuous-time portfolio optimization really be applied?

DOI10.1093/IMAMAN/DPAF018MaRDI QIDQ6909044zbMATH OpenFDO

Authors Ralf Korn

Publication date 30 October 2025

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/IMAMAN/DPAF018

zbMATH Keywords

asymptotic analysisportfolio optimizationrelaxed investortransaction costs

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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