Optimal portfolio on tracking the expected wealth process with liquidity constraints (Q655833)
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scientific article; zbMATH DE number 6002303
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal portfolio on tracking the expected wealth process with liquidity constraints |
scientific article; zbMATH DE number 6002303 |
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Optimal portfolio on tracking the expected wealth process with liquidity constraints (English)
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27 January 2012
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portfolio selection
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wealth tracking
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liquidity constraints
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HJB equation
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Lagrange multiplier
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0.7990467548370361
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0.7922159433364868
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0.7921364903450012
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0.7906699776649475
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