Stochastic impulse control with discounted and ergodic optimization criteria: A comparative study for the control of risky holdings
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More about this item
Keywords
Transaction costs; stochastic impulse control; ergodic criteria;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2007-02-10 (Utility Models and Prospect Theory)
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