scientific article; zbMATH DE number 1069625

MaRDI QIDQ4356587zbMATHFDO

Authors Agnès Sulem

Publication date 1 October 1997

zbMATH Keywords

dynamic programmingvariational inequalityMerton problemrisky assetsfinite horizon problemdynamic optimization of portfoliossingular stochastic problemstransaction cost problem

Mathematics Subject Classification ID

Dynamic programming (90C39) Dynamic programming in optimal control and differential games (49L20) Microeconomic theory (price theory and economic markets) (91B24)

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• The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes
• Optimal portfolio selection under vanishing fixed transaction costs
• Optimal portfolio policies under fixed and proportional transaction costs
• A tychastic approach to guaranteed pricing and management of portfolios under transactions constraints
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
• On level curves of value functions in optimization models of expected utility.
• Dynamic management of portfolios with transaction costs under tychastic uncertainty
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• Optimal portfolio allocation of commodity related assets using a controlled forward-backward stochastic algorithm
• Primal-dual methods for the computation of trading regions under proportional transaction costs
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• Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs
• A Minimum Variance Result in Continuous Trading Portfolio Optimization
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
• Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
• Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility.
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
• Dynamic portfolio selection with nonlinear transaction costs

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