Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.
| hal.structure.identifier | Institut Camille Jordan [ICJ] | |
| dc.contributor.author | BLANCHET-SCALLIET, Christophette | |
| hal.structure.identifier | Swiss Finance Institute [Geneva] | |
| dc.contributor.author | GIBSON BRANDON, Rajna | |
| hal.structure.identifier | Groupe de Recherche en Economie Théorique et Appliquée [GREThA] | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | DE SAPORTA, Benoîte | |
| hal.structure.identifier | Simuler et calibrer des modèles stochastiques [TOSCA] | |
| dc.contributor.author | TALAY, Denis | |
| hal.structure.identifier | Simuler et calibrer des modèles stochastiques [TOSCA] | |
| dc.contributor.author | TANRÉ, Etienne | |
| dc.contributor.editor | Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter | |
| dc.date.accessioned | 2024-04-04T02:27:00Z | |
| dc.date.available | 2024-04-04T02:27:00Z | |
| dc.date.issued | 2009 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/189996 | |
| dc.language.iso | en | |
| dc.publisher | Walter de Gruyter | |
| dc.source.title | Advanced Financial Modelling | |
| dc.subject.en | stochastic control | |
| dc.subject.en | HJB inequalities | |
| dc.subject.en | viscosity solutions | |
| dc.subject.en | dynamic programming principle | |
| dc.subject.en | portfolio allocation | |
| dc.subject.en | transaction costs | |
| dc.title.en | Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs. | |
| dc.type | Chapitre d'ouvrage | |
| dc.identifier.doi | 10.1515/9783110213140.53 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.subject.hal | Économie et finance quantitative [q-fin]/Finance quantitative [q-fin.CP] | |
| bordeaux.page | 53-90 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.title.proceeding | Advanced Financial Modelling | |
| hal.identifier | hal-00594200 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Non spécifiée | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00594200v1 | |
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