A Unified Approach to Portfolio Optimization with Linear Transaction Costs
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References listed on IDEAS
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More about this item
Keywordsportfolio choice; transaction costs; stochastic singular control; stochastic impulse control; computational methods;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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