Dynamic portfolio optimization with transaction costs and state-dependent drift
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Publication:319244
DOI10.1016/j.ejor.2014.12.040zbMath1346.91217WikidataQ57949117 ScholiaQ57949117MaRDI QIDQ319244
Klaus Reiner Schenk-Hoppé, Jan Palczewski, Rolf Poulsen, Huamao Wang
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://eprints.whiterose.ac.uk/83104/1/PPSHW_2014_12_16-EJOR-Revision.pdf
dynamic programming; numerical methods; transaction costs; Markov chain approximation; state-dependent drift
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
91G10: Portfolio theory
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