Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs

DOI10.1080/1045112021000037382zbMath1035.91027OpenAlexW1970538791MaRDI QIDQ4796603

Kristin Reikvam, Fred Espen Benth, Kenneth Hvistendahl Karlsen

Publication date: 2002

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1956/19544

zbMATH Keywords

dynamic programming stochastic control transaction cost portfolio choice intertemporal substitution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)

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