Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I. (Q2478407)
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| English | Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I. |
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Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I. (English)
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28 March 2008
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The author considers an infinite time horizon hereditary portfolio optimization problem and, in this first part of the paper, derives the associated quasi-variational HJB inequality. For Part II, cf. [ibid. 2007, Article ID 40149, 25 p. (2007; Zbl 1145.91022)].
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