Dynamic portfolio selection with nonlinear transaction costs (Q5428305)
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scientific article; zbMATH DE number 5213592
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic portfolio selection with nonlinear transaction costs |
scientific article; zbMATH DE number 5213592 |
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Dynamic portfolio selection with nonlinear transaction costs (English)
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21 November 2007
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dynamic portfolio selection
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nonlinear transaction costs
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non-singular stochastic optimal control theory
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Hamilton-Jacobi-Bellman equation
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vanishing viscosity solutions
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