Dynamic portfolio optimization with transaction costs and state-dependent drift (Q319244)
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scientific article; zbMATH DE number 6633471
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| default for all languages | No label defined |
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| English | Dynamic portfolio optimization with transaction costs and state-dependent drift |
scientific article; zbMATH DE number 6633471 |
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Dynamic portfolio optimization with transaction costs and state-dependent drift (English)
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6 October 2016
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dynamic programming
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numerical methods
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state-dependent drift
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transaction costs
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Markov chain approximation
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0.8245380520820618
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0.8232554793357849
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0.797845184803009
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0.7851086258888245
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0.7851086258888245
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