Optimal investment with operating costs proportional to the capital portfolio

DOI10.1070/RM1996V051N06ABEH003019zbMATH Open0885.90015OpenAlexW2084059105MaRDI QIDQ4375228FDOQ4375228

Authors: S. N. Volkov 

Publication date: 1 February 1998

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm1996v051n06abeh003019

zbMATH Keywords

Wiener processesstochastic differential equationsoptimal investment strategy

Mathematics Subject Classification ID

Economic growth models (91B62)

Cited In (1)

• Sul problema del reimpiego dei margini in operazioni finanziarie

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