Portfolio selection by minimizing the present value of capital injection costs

By Ming Zhou and Kam C. Yuen

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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