A geometric approach to portfolio optimization in models with transaction costs

Yuri Kabanov () and Claudia Klüppelberg ()
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Claudia Klüppelberg: http://www.ma.tum.de/stat/
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

Finance and Stochastics, 2004, vol. 8, issue 2, 207-227

Abstract: We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism we show that the Bellman function is the unique viscosity solution of a HJB equation. Copyright Springer-Verlag Berlin/Heidelberg 2004

Keywords: Currency market; transaction costs; consumption-investment problem; utility function; HJB equation; viscosity solution (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s00780-003-0114-3

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