Risk sensitive asset management with transaction costs

DOI10.1007/S007800050001zbMATH Open0982.91024OpenAlexW1997640190MaRDI QIDQ1979075FDOQ1979075

Authors: Stanley R. Pliska, Tomasz R. Bielecki 

Publication date: 24 May 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050001

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zbMATH Keywords

transaction costsincomplete marketsquasi-variational inequalitiesoptimal portfolio selectionrisk-sensitive impulsive stochastic control

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25) Optimal stochastic control (93E20)

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