Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs

DOI10.1239/aap/1222868181zbMath1151.91055MaRDI QIDQ3535648

Takashi Tamura

Publication date: 13 November 2008

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1222868181

zbMATH Keywords

portfolio optimization; transaction cost; impulsive control; quasivariational inequality

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49N25: Impulsive optimal control problems

Cites Work

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