Dynamic portfolio optimization with transaction costs and state-dependent drift
Year of publication: |
2015
|
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Authors: | Palczewski, Jan ; Poulsen, Rolf ; Schenk-Hoppé, Klaus Reiner ; Wang, Huamao |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 243.2015, 3 (16.6.), p. 921-931
|
Subject: | Dynamic programming | Numerical methods | State-dependent drift | Transaction costs | Markov Chain approximation | Transaktionskosten | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Theorie | Theory | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming | Numerisches Verfahren | Numerical analysis |
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