Optimal portfolio choice under shadow costs with fixed assets when time-horizon is uncertain
Mondher Bellalah, Detao Zhang, Panpan Zhang
| Year of publication: |
2020
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|---|---|
| Authors: | Bellalah, Mondher ; Zhang, Detao ; Zhang, Panpan |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 1, p. 5-20
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| Subject: | Optimal portfolio | Asset price | Uncertain time-horizon | Dynamic programming | HJB equation | Portfolio-Management | Portfolio selection | Theorie | Theory | Dynamische Optimierung | Risiko | Risk | CAPM | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-09991-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012272014