Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon.
Maxim BichuchRonnie SircarPublished in: SIAM J. Control. Optim. (2017)
Keyphrases
- infinite horizon
- transaction costs
- optimal control
- long run
- finite horizon
- periodic review
- dynamic programming
- stochastic demand
- single item
- average cost
- portfolio management
- optimal policy
- inventory policy
- expected cost
- markov decision processes
- demand distributions
- production planning
- markov decision process
- holding cost
- fixed cost
- inventory control
- inventory systems
- long run average cost
- state space
- exchange rate
- lead time
- single product
- decision making
- inventory models
- long term