MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS (Q5488977)
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scientific article; zbMATH DE number 5056724
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| English | MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS |
scientific article; zbMATH DE number 5056724 |
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MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS (English)
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25 September 2006
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portfolio optimization
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transaction costs
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stochastic control
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Hamilton-Jacobi-Bellman equation
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free boundary problem
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0.8515628576278687
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0.8365944027900696
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0.8365944027900696
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0.8341154456138611
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0.829919159412384
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