PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL-Reference-Cited by-同舟云学术

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PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL

Published:1995-10 Issue:4 Volume:5 Page:357-367
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Atkinson C.,Wilmott P.

Publisher

Wiley

Subject

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

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.1995.tb00072.x/fullpdf

Reference6 articles.

1. Transactions costs and portfolio choice in a discrete-continuous-time setting

2. Optimal Impulse Control of Portfolios

3. Optimum consumption and portfolio rules in a continuous-time model

4. A. J. Morton, and S. R. Pliska (1993 ): "Optimal Portfolio Management with Fixed Transaction Costs," working paper.

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