Multidimensional portfolio optimization with proportional transaction costs

Mathematical Finance

Volumn 16, Issue 2, 2006, Pages 301-335

  Muthuraman, Kumar ^a   Kumar, Sunil ^b  

^a SCHOOL OF INDUSTRIAL ENGINEERING   (United States)

^b STANFORD UNIVERSITY   (United States)

Author keywords

Free boundary problem; Hamilton Jacobi Bellman equation; Portfolio optimization; Stochastic control; Transaction costs

Indexed keywords

EID: 33644969083     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00273.x     Document Type: Article

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