An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs

Author:

DUMAS BERNARD,LUCIANO ELISA

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference38 articles.

1. Amihud , Y. H. Mendelson 1988 Liquidity and asset prices: Financial management implications Financial Management

2. Some solvable stochastic control problems;Benes;Stochastics,1980

3. Bertola , G. 1988 Irreversible investment Working paper, Princeton University

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. Boyle , P. P. T. Vorst 1990 Option pricing in discrete time with transactions costs Working paper, Erasmus University

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