AURELL, ERIK; MURATORE-GINANNESCHI, PAOLO - In: International Journal of Theoretical and Applied … 09 (2006) 07, pp. 1051-1069
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a Hamilton–Jacobi–Bellman equation, which by the verification...