A geometric approach to portfolio optimization in models with transaction costs
We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism we show that the Bellman function is the unique viscosity solution of a HJB equation. Copyright Springer-Verlag Berlin/Heidelberg 2004
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Volume (Year): 8 (2004)
Issue (Month): 2 (05)
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