scientific article; zbMATH DE number 797369

MaRDI QIDQ4848529zbMATH OpenFDO

Authors Agnès Tourin, Thaleia Zariphopoulou

Publication date 17 September 1995

zbMATH Keywords

dynamic programmingportfolio selectionvariational inequalityviscosity solutionfree boundariesmonotone numerical schemeinfinite horizon investment- consumption modeltransaction regions

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Numerical methods (including Monte Carlo methods) (91G60) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20)

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• Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
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• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Portfolio selection with transaction costs under expected shortfall constraints
• Basic properties of value function on asset optimization
• Transaction cost optimization for online portfolio selection
• Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I.
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
• Trading regions under proportional transaction costs
• Numerical schemes for investment models with singular transactions
• Optimal portfolio selection for the small investor considering risk and transaction costs
• Dynamic portfolio selection with market impact costs
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• Multi-asset portfolio selection problem with transaction costs
• Primal-dual methods for the computation of trading regions under proportional transaction costs
• Money, transactions and portfolio choice
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