scientific article; zbMATH DE number 797369
zbMATH Open0827.65072MaRDI QIDQ4848529FDOQ4848529
Authors: Agnès Tourin, Thaleia Zariphopoulou 
Publication date: 17 September 1995
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dynamic programmingportfolio selectionvariational inequalityviscosity solutionfree boundariesmonotone numerical schemeinfinite horizon investment- consumption modeltransaction regions
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)
Cited In (19)
- Portfolio analysis with transaction costs under uncertainty
- Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
- Portfolio Selection with Transaction Costs
- Portfolio Choice with Transaction Costs: A User’s Guide
- 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
- Optimal portfolio selection with transaction costs
- Multi-asset portfolio selection problem with transaction costs
- Money, transactions and portfolio choice
- Primal-dual methods for the computation of trading regions under proportional transaction costs
- Title not available (Why is that?)
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