Portfolio diversification with Markovian prices

MaRDI QIDQ5290220zbMATH OpenFDO

Authors Jan Palczewski, Jerzy Zabczyk

Publication date 28 April 2006

zbMATH Keywords

impulsive controlLévy processesportfoliostransaction costs

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(7)

• An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities
• Curve following in illiquid markets
• Portfolio optimization with early announced discrete dividends
• Impulsive control of portfolios
• Diversified portfolios with jumps in a benchmark framework
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• Optimum portfolio diversification in a general continuous-time model

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