scientific article; zbMATH DE number 912568
From MaRDI portal
Publication:4887227
correlated geometric Brownian motionslong-run growth rateoptimal management of a portfoliooptimal trading strategypartial differential equation free boundary problem
Recommendations
- On a free boundary problem that arises in portfolio management
- On a free boundary problem for an optimal investment problem with different interest rates
- On the parabolic equation for portfolio problems
- Free Boundary Problems in Mathematical Finance
- Free boundary problem for an optimal investment problem with a borrowing constraint
- Free boundary problems in asset pricing with transaction costs
- A stochastic control problem and related free boundaries in finance
- On nontraditional problems of portfolio management
- Solving Free-boundary Problems with Applications in Finance
- scientific article; zbMATH DE number 5077026
Cited in
(10)- A free boundary problem arising from a multi-state regime-switching stock trading model
- Free boundary problem for an optimal investment problem with a borrowing constraint
- Free boundary problems in asset pricing with transaction costs
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- Portfolio management with transaction costs
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- On a free boundary problem that arises in portfolio management
- scientific article; zbMATH DE number 2092184 (Why is no real title available?)
- On the parabolic equation for portfolio problems
- scientific article; zbMATH DE number 5055325 (Why is no real title available?)
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4887227)
