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Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.

Christophette Blanchet-Scalliet 1 Rajna Gibson Brandon 2 Benoîte de Saporta 3, 4, 5 Denis Talay 6 Etienne Tanré 6
5 CQFD - Quality control and dynamic reliability
IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest
6 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
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https://hal.archives-ouvertes.fr/hal-00594200
Contributor : Christophette Blanchet-Scalliet <>
Submitted on : Thursday, May 19, 2011 - 11:07:22 AM
Last modification on : Wednesday, July 8, 2020 - 12:43:15 PM

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Christophette Blanchet-Scalliet, Rajna Gibson Brandon, Benoîte de Saporta, Denis Talay, Etienne Tanré. Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.. Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter. Advanced Financial Modelling, Walter de Gruyter, pp.53-90, 2009, Radon series on computational and applied mathematics 8, ⟨10.1515/9783110213140.53⟩. ⟨hal-00594200⟩

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