Optimal Investment with Transient Price Impact (Q4971979)
From MaRDI portal
scientific article; zbMATH DE number 7135136
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Investment with Transient Price Impact |
scientific article; zbMATH DE number 7135136 |
Statements
Optimal Investment with Transient Price Impact (English)
0 references
22 November 2019
0 references
problem of maximizing expected utility
0 references
finite planning horizon
0 references
transient price impact
0 references
singular optimal stochastic control problem
0 references
convex analysis
0 references
calculus of variations
0 references
free boundary problem
0 references
