Optimal consumption and investment problems under GARCH with transaction costs期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

Optimal consumption and investment problems under GARCH with transaction costs

Authors:	Zhiping Chen K. C. Yuen

Affiliation:	(1) Department of Scientific Computing and Applied Softwares, Faculty of Science, Xian Jiaotong University, 710049 Xian, Shaanxi, P. R, China;(2) Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong

Abstract:

Keywords:	Consumption and investment problems The GARCH model Stochastic programming Decomposition The augmented Lagrangian
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