مرکز منطقه ای اطلاع رساني علوم و فناوري - A computational scheme for optimal investment – consumption with proportional transaction costs

Title of article :

A computational scheme for optimal investment – consumption with proportional transaction costs

Author/Authors :

Kumar Muthuraman، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

1132

To page :

1159

Keywords :

Portfolio optimization , Transaction costs , Hamilton – Jacobi – Bellmanequation , Stochastic control , Free boundary

Journal title :

Journal of Economic Dynamics and Control

Serial Year :

2007

Journal title :

Journal of Economic Dynamics and Control

Record number :

239029

Link To Document :