Portfolio selection by minimizing the present value of capital injection costs
Year of publication: |
2015
|
---|---|
Authors: | Zhou, Ming ; Yuen, Kam Chuen |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 45.2015, 1, p. 207-238
|
Subject: | Backward Euler method | capital injection | HJB equation | portfolio selection | transaction costs | Portfolio-Management | Portfolio selection | Theorie | Theory | Transaktionskosten | Transaction costs |
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