Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs.
Hideo NagaiPublished in: Asymptot. Anal. (2006)
Keyphrases
- variational inequalities
- risk sensitive
- transaction costs
- optimal control
- optimality criterion
- special case
- portfolio management
- dynamic programming
- sensitivity analysis
- markov decision processes
- lipschitz continuity
- decision making
- optimal solution
- convex sets
- utility function
- worst case
- computational complexity
- cooperative
- bayesian networks