Optimal impulse control of a portfolio with a fixed transaction cost
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research
Link
http://link.springer.com/content/pdf/10.1007/s10100-013-0304-9.pdf
Reference22 articles.
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3. Akian M, Sulem A, Taksar M (2001) Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility. Math Finance 11(2):153–188
4. Assaf D, Klass M, Taksar M (1988) A diffusion model for optimal portfolio selection in the presence of brokerage fees. Math Oper Res 13:277–294
5. Baccarin S (2009) Optimal impulse control for a multidimensional cash management system with generalized cost functions. Eur J Oper Res 196(1):198–206
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