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

Journal of Economic Dynamics and Control

Volumn 31, Issue 4, 2007, Pages 1132-1159

  Muthuraman, Kumar ^a  

^a SCHOOL OF INDUSTRIAL ENGINEERING   (United States)

Author keywords

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

Indexed keywords

EID: 33847072773     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2006.04.005     Document Type: Article

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