Portfolio optimisation under transaction costs with recursive preferences

DOI10.1090/TRAN/9736MaRDI QIDQ7391458zbMATH OpenFDO

Authors Martin Herdegen, David Hobson, Alex S. L. Tse

Publication date 2026

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/TRAN/9736

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites work

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