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| HAL: hal-00594200, version 1 |
| DOI: 10.1515/9783110213140.53 |
| Detailed view |  Export this paper |
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| Advanced Financial Modelling, Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter (Ed.) (2009) 53-90 |
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| Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs. |
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| Christophette Blanchet-Scalliet 1Rajna Gibson Brandon 2 |
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| (2009) |
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| 1: | Institut Camille Jordan (ICJ) |
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CNRS : UMR5208 – Université Claude Bernard - Lyon I – Ecole Centrale de Lyon – Institut National des Sciences Appliquées (INSA) - Lyon |
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| 2: | Swiss Finance Institute [Geneva] |
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Swiss Finance Institute |
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| 3: | Groupe de Recherche en Economie Théorique et Appliquée (GREThA) |
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CNRS : UMR5113 – Université Montesquieu - Bordeaux IV |
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| 4: | Institut de Mathématiques de Bordeaux (IMB) |
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CNRS : UMR5251 – Université Sciences et Technologies - Bordeaux I – Université Victor Segalen - Bordeaux II |
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| 5: | CQFD (INRIA Bordeaux - Sud-Ouest) |
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INRIA – Université Sciences et Technologies - Bordeaux I – Université Victor Segalen - Bordeaux II – CNRS : UMR5251 |
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| 6: | TOSCA (INRIA Sophia Antipolis / INRIA Lorraine / IECN) |
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INRIA – CNRS : UMR7502 – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine (INPL) |
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| Subject | : | Mathematics/Probability Quantitative Finance/Computational Finance |
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| stochastic control – HJB inequalities – viscosity solutions – dynamic programming principle – portfolio allocation – transaction costs |
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| hal-00594200, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00594200 | |
| oai:hal.archives-ouvertes.fr:hal-00594200 | |
| From: Christophette Blanchet-Scalliet | |
| Submitted on: Thursday, 19 May 2011 11:07:22 | |
| Updated on: Wednesday, 25 May 2011 15:35:39 | |
