Optimal dividend and risk control policies in the presence of a fixed transaction cost.
Peng LiQingbin MengKam C. YuenMing ZhouPublished in: J. Comput. Appl. Math. (2021)
Keyphrases
- control policies
- transaction costs
- control policy
- portfolio management
- optimal policy
- reinforcement learning
- motion control
- finite horizon
- real time
- stock exchange
- dynamic programming
- action space
- decision making
- control system
- portfolio optimization
- stock price
- control strategies
- optimal control
- markov chain
- optimal solution
- machine learning