Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints
Stefano Baccarin and Daniele Marazzina
| Year of publication: |
October 2016
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|---|---|
| Authors: | Baccarin, Stefano ; Marazzin, Daniele |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 27.2016, 4, p. 471-504
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| Subject: | dynamic trading strategies | passive portfolio management | quasi-variational inequalities | solvency constraints | transaction costs | viscosity solutions | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Theorie | Theory | Betriebliche Liquidität | Corporate liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpv002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011739919