MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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Publication:5488977
DOI10.1111/j.1467-9965.2006.00273.xzbMath1145.91352OpenAlexW2042506154MaRDI QIDQ5488977
Publication date: 25 September 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00273.x
Hamilton-Jacobi-Bellman equationfree boundary problemstochastic controlportfolio optimizationtransaction costs
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Free boundary problems for PDEs (35R35) Portfolio theory (91G10)
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