STABLE AND EFFICIENT COMPUTATIONAL METHODS FOR DYNAMIC PROGRAMMING
Author:
Publisher
Oxford University Press (OUP)
Subject
General Economics, Econometrics and Finance
Link
http://academic.oup.com/jeea/article-pdf/8/2-3/626/10313921/jeea0626.pdf
Reference10 articles.
1. Cai , Yongyang 2009 Dynamic Programming and Its Application in Economics and Finance Ph.D. thesis Stanford University
2. Optimal Portfolio Revision with Proportional Transaction Costs: Extension to HARA Utility Functions and Exogenous Deterministic Income;Constantinides;Management Science,1976
3. Asymptotic Analysis for Optimal Investment and Consumption with Transaction Costs;Janecek;Finance and Stochastics,2004
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