SCOPUS 정보 검색 플랫폼

Volumn 191, Issue 1, 2007, Pages 239-252

An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes

Author keywords

Free boundary; Optimal consumption; Optimal investment; Random lifetime; Transaction cost

Indexed keywords

ALGORITHMS; BOUNDARY VALUE PROBLEMS; COSTS; MATHEMATICAL MODELS; RANDOM PROCESSES;

FREE BOUNDARIES; OPTIMAL CONSUMPTIONS; OPTIMAL INVESTMENTS; RANDOM LIFETIME; TRANSACTION COSTS;

OPTIMAL SYSTEMS;

EID: 34547732544 PISSN: 00963003 EISSN: None Source Type: Journal
DOI: 10.1016/j.amc.2007.02.100 Document Type: Article

Times cited : (12)

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