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ArticleImpulsive Control of Portfolios

Jan Palczewski2007

Article2007

Impulsive Control of Portfolios

Jan Palczewski · Łukasz Stettner

18 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1995OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS 1978Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time 1998Portfolio optimisation with strictly positive transaction costs and impulse control 1988Optimal Impulse Control of Portfolios 2000Risk sensitive asset allocation 2006Tracking a Financial Benchmark Using a Few Assets 2004Optimal tracking for asset allocation with fixed and proportional transaction costs 1998Optimal Index Tracking Under Transaction Costs and Impulse Control

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2004Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assetsarticle · 4 shared references 2010Impulse Control of Multidimensional Jump Diffusionsarticle · 4 shared references 2009Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processesarticle · 4 shared references 2010A Computational Method for Stochastic Impulse Control Problemsarticle · 4 shared references 2019Irreversible investment with fixed adjustment costs: a stochastic impulse control approacharticle · 4 shared references 2004Asset Prices and Trading Volume under Fixed Transactions Costsarticle · 3 shared references

Details

Year2007

Typearticle

Published2007-06-01

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-007-0880-y

openalex_workW1977010568

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