Dynamic portfolio optimization with transaction costs and state-dependent drift
Jan Palczewski; Rolf Poulsen; Klaus Reiner Schenk-Hoppé; Huamao Wang
| Year of publication: |
2015
|
|---|---|
| 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 | Theorie | Theory | Transaktionskosten | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010513816