Optimal impulse control of a portfolio with a fixed transaction cost
Stefano Baccarin; Daniele Marazzina
| Year of publication: |
2014
|
|---|---|
| Authors: | Baccarin, Stefano ; Marazzina, Daniele |
| Published in: |
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies. - Berlin : Springer, ISSN 1435-246X, ZDB-ID 1178875-6. - Vol. 22.2014, 2, p. 355-372
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| Subject: | Portfolio optimization | Transaction costs | Impulse control | Quasi-variational inequalities | Transaktionskosten | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | 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/10010356907