Optimal consumption and investment problems under GARCH with transaction costs
Zhiping Chen; K. C. Yuen
| Year of publication: |
2005
|
|---|---|
| Authors: | Chen, Zhiping ; Yuen, K. C. |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 61.2005, 2, p. 219-237
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| Subject: | Konsum | Consumption | Investition | Investment | Transaktionskosten | Transaction costs | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Theorie | Theory |
| 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/10002858605