Impulse control of portfolios with jumps and transaction costs

DOI10.1080/15326349208807214zbMath0749.60036OpenAlexW1990833819MaRDI QIDQ4009175

Kevin J. Hastings

Publication date: 27 September 1992

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349208807214

zbMATH Keywords

numerical computationoptimal solutiongeometric Brownian motionfixed and variable transaction costsoptimal investmemt plan

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (5)

Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application ⋮ A unified approach to portfolio optimization with linear transaction costs ⋮ Dynamic liquidation under market impact ⋮ EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS ⋮ Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

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