A unified approach to portfolio optimization with linear transaction costs

Mathematical Methods of Operations Research

Volumn 62, Issue 2, 2005, Pages 319-343

  Zakamouline, Valeri I ^a  

^a Graduate School of Business   (Norway)

Author keywords

Computational methods; Portfolio choice; Stochastic impulse control; Stochastic singular control; Transaction costs

Indexed keywords

COMPUTATIONAL METHODS; COSTS; INDUSTRIAL ECONOMICS; INVESTMENTS; LINEAR SYSTEMS; OPTIMIZATION; PIECEWISE LINEAR TECHNIQUES; PROBLEM SOLVING; STOCHASTIC CONTROL SYSTEMS;

PORTFOLIO CHOICE; STOCHASTIC IMPULSE CONTROL; STOCHASTIC SINGULAR CONTROL; TRANSACTION COSTS;

OPERATIONS RESEARCH;

EID: 27844571847     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-005-0005-9     Document Type: Article

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