Optimal portfolio choice under shadow costs with fixed assets when time-horizon is uncertain
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
|
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 |
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