Optimization of<i>N</i>-risky asset portfolios with stochastic variance and transaction costs (Q3568909)
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scientific article; zbMATH DE number 5721650
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| English | Optimization of<i>N</i>-risky asset portfolios with stochastic variance and transaction costs |
scientific article; zbMATH DE number 5721650 |
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Optimization of<i>N</i>-risky asset portfolios with stochastic variance and transaction costs (English)
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16 June 2010
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quantitative finance
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trading strategies
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transaction costs
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hedging with utility based preferences
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stochastic control
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0.92780244
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0.92258596
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0.9215371
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0.9164975
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0.9142202
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0.9120958
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0.90767086
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