scientific article; zbMATH DE number 1069625

zbMATH Open0898.90037MaRDI QIDQ4356587FDOQ4356587

Authors: Agnès Sulem 

Publication date: 1 October 1997

Title of this publication is not available (Why is that?)

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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)

Cited In (18)

• A tychastic approach to guaranteed pricing and management of portfolios under transactions constraints
• Title not available (Why is that?)
• Optimal portfolio selection under vanishing fixed transaction costs
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
• Dynamic portfolio selection with nonlinear transaction costs
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
• Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
• The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes
• Dynamic management of portfolios with transaction costs under tychastic uncertainty
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
• Optimal portfolio allocation of commodity related assets using a controlled forward-backward stochastic algorithm
• Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs
• The dual optimizer for the growth-optimal portfolio under transaction costs
• Primal-dual methods for the computation of trading regions under proportional transaction costs
• Optimal portfolio policies under fixed and proportional transaction costs
• A Minimum Variance Result in Continuous Trading Portfolio Optimization
• Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility.
• On level curves of value functions in optimization models of expected utility.

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