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transaction costs
Impulse control
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Control theory
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impulse control
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Cadenillas, Abel
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Zakamouline, Valeri
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1
A Unified Approach to Portfolio Optimization with Linear Transaction Costs
Zakamouline, Valeri
-
EconWPA
-
2004
singular control or stochastic
impulse
control
framework. In this paper we propose a unified framework, which generalizes the …
Persistent link: https://www.econbiz.de/10005125672
Saved in:
2
Consumption-investment problems with transaction costs: Survey and open problems
Cadenillas, Abel
- In:
Computational Statistics
51
(
2000
)
1
,
pp. 43-68
impulse
control
. We also describe some open problems in this active area of research. Copyright Springer-Verlag Berlin …
Persistent link: https://www.econbiz.de/10010847687
Saved in:
3
Consumption-investment problems with transaction costs: Survey and open problems
Cadenillas, Abel
- In:
Mathematical Methods of Operations Research
51
(
2000
)
1
,
pp. 43-68
impulse
control
. We also describe some open problems in this active area of research. Copyright Springer-Verlag Berlin …
Persistent link: https://www.econbiz.de/10010950108
Saved in:
4
Portfolio optimisation with strictly positive transaction costs and
impulse
control
Korn, Ralf
- In:
Finance and Stochastics
2
(
1998
)
2
,
pp. 85-114
transaction costs will lead to immediate ruin. We present an
impulse
control
approach where the investor can change his portfolio …
Persistent link: https://www.econbiz.de/10005613451
Saved in:
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