OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS-Reference-Cited by-同舟云学术

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OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

Published:2013-06-06 Issue:2 Volume:25 Page:221-257
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Espinosa Gilles-Edouard¹,Touzi Nizar¹

Affiliation:

1. Centre de Mathématiques Appliquées, Ecole Polytechnique Paris

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12034/fullpdf

Reference39 articles.

1. Asset Prices Under Habit Formation and Catching Up with the Joneses;Abel;Am. Econ. Rev.,1990

2. Multi-Asset Portfolio Selection Problem with Transaction Costs. Probabilités Numériques (Paris, 1992);Akian;Math. Comput. Simul.,1995

3. Ben Tahar , I. H. M. Soner N. Touzi 2008a Modelling Continuous-Time Financial Markets with Capital Gains Taxes

4. The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes;Ben;SIAM J. Control Optim.,2008b

5. Capital Market Equilibrium with Personal Taxes;Constantinides;Econometrica,1983

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