Optimal investment in the foreign exchange market with proportional transaction costs

DOI10.1080/14697680903460150zbMath1214.91109MaRDI QIDQ3005820

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Publication date: 9 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903460150

zbMATH Keywords

control of stochastic systems; consumption-portfolio choice; applied mathematical finance; continuous time dynamic finance

Mathematics Subject Classification ID

91G10: Portfolio theory

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• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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