Continuous-Time Markowitz's Model with Transaction Costs

DOI10.1137/080742889zbMath1187.93139arXiv0906.0678OpenAlexW1981768388MaRDI QIDQ3402361

Publication date: 3 February 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.0678

zbMATH Keywords

Lagrange multiplier Skorokhod problem transaction costs singular stochastic control mean-variance continuous-time planning horizon double-obstacle problem

Mathematics Subject Classification ID

Variational and other types of inequalities involving nonlinear operators (general) (47J20) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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