Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/0330035
Reference14 articles.
1. The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results
2. Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
3. Capital Market Equilibrium with Transaction Costs
4. Viscosity solutions of Hamilton-Jacobi equations
5. Portfolio Selection with Transaction Costs
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