Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
نویسندگان
چکیده
منابع مشابه
Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs
Portfolio management is one of the most important areas of research in financial engineering. This paper is concerned with multi period decision problem for financial asset allocation when the rate of borrowing is greater than the rate of lending. Transaction costs as a source of concern for portfolio managers is also considered in this paper. The proposed method of this paper is formulated in ...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2018
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-018-0232-5