A geometric approach to portfolio optimization in models with transaction costs

We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism we show that the Bellman function is the unique viscosity solution of a HJB equation. Copyright Springer-Verlag Berlin/Heidelberg 2004

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Year of publication:	2004
Authors:	Kabanov, Yuri ; Klüppelberg, Claudia
Published in:	Finance and Stochastics. - Springer. - Vol. 8.2004, 2, p. 207-227
Publisher:	Springer
Subject:	Currency market \| transaction costs \| consumption-investment problem \| utility function \| HJB equation \| viscosity solution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005390704