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

Author

Listed:
  • Christophette Blanchet-Scalliet

    (ICJ - Institut Camille Jordan - ECL - École Centrale de Lyon - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique)

  • Rajna Gibson Brandon

    (Swiss Finance Institute [Geneva] - Swiss Finance Institute)

  • Benoîte de Saporta

    (GREThA - Groupe de Recherche en Economie Théorique et Appliquée - UB - Université de Bordeaux - CNRS - Centre National de la Recherche Scientifique, IMB - Institut de Mathématiques de Bordeaux - Université Bordeaux Segalen - Bordeaux 2 - UB - Université Sciences et Technologies - Bordeaux 1 - UB - Université de Bordeaux - Bordeaux INP - Institut Polytechnique de Bordeaux - CNRS - Centre National de la Recherche Scientifique, CQFD - Quality control and dynamic reliability - IMB - Institut de Mathématiques de Bordeaux - Université Bordeaux Segalen - Bordeaux 2 - UB - Université Sciences et Technologies - Bordeaux 1 - UB - Université de Bordeaux - Bordeaux INP - Institut Polytechnique de Bordeaux - CNRS - Centre National de la Recherche Scientifique - Inria Bordeaux - Sud-Ouest - Inria - Institut National de Recherche en Informatique et en Automatique)

  • Denis Talay

    (TOSCA - Simuler et calibrer des modèles stochastiques - INRIA Lorraine - Inria - Institut National de Recherche en Informatique et en Automatique - CRISAM - Inria Sophia Antipolis - Méditerranée - Inria - Institut National de Recherche en Informatique et en Automatique - UHP - Université Henri Poincaré - Nancy 1 - Université Nancy 2 - INPL - Institut National Polytechnique de Lorraine - CNRS - Centre National de la Recherche Scientifique)

  • Etienne Tanré

    (TOSCA - Simuler et calibrer des modèles stochastiques - INRIA Lorraine - Inria - Institut National de Recherche en Informatique et en Automatique - CRISAM - Inria Sophia Antipolis - Méditerranée - Inria - Institut National de Recherche en Informatique et en Automatique - UHP - Université Henri Poincaré - Nancy 1 - Université Nancy 2 - INPL - Institut National Polytechnique de Lorraine - CNRS - Centre National de la Recherche Scientifique)

Abstract

No abstract is available for this item.

Suggested Citation

  • Christophette Blanchet-Scalliet & Rajna Gibson Brandon & Benoîte de Saporta & Denis Talay & Etienne Tanré, 2009. "Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs," Post-Print hal-00594200, HAL.
    • Handle: RePEc:hal:journl:hal-00594200
    DOI: 10.1515/9783110213140.53
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    Cited by:

    1. Etienne Chevalier & M’hamed Gaïgi & Vathana Ly Vath & Mohamed Mnif, 2017. "Optimal Market Dealing Under Constraints," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 313-335, April.

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