Optimization ofN-risky asset portfolios with stochastic variance and transaction costs

DOI10.1080/14697680903170791zbMath1195.91141OpenAlexW2071724327WikidataQ60171467 ScholiaQ60171467MaRDI QIDQ3568909

Pongsathorn Ingpochai, Colin Atkinson

Publication date: 16 June 2010

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

Full work available at URL: https://doi.org/10.1080/14697680903170791

zbMATH Keywords

stochastic controltransaction coststrading strategiesquantitative financehedging with utility based preferences

Mathematics Subject Classification ID

Stochastic programming (90C15) Utility theory (91B16) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (2)

Unnamed Item ⋮ Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis

Cites Work

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