An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes (Q990425)
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scientific article; zbMATH DE number 5776942
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| English | An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes |
scientific article; zbMATH DE number 5776942 |
Statements
An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes (English)
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1 September 2010
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optimal investment
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optimal consumption
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transaction cost
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random lifetime
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free boundary
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0.8728047013282776
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0.8474079370498657
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0.8382877111434937
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0.8378260731697083
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0.8378260731697083
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