Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/S0363012900376013
Reference18 articles.
1. On an Investment-Consumption Model with Transaction Costs
2. Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
3. Risk sensitive asset management with transaction costs
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