A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets
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DOI: 10.1524/stnd.2009.1049
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- Hong Liu, 2004. "Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets," Journal of Finance, American Finance Association, vol. 59(1), pages 289-338, February.
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- Marianne Akian & Agnès Sulem & Michael I. Taksar, 2001. "Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility," Mathematical Finance, Wiley Blackwell, vol. 11(2), pages 153-188, April.
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- Soren Christensen & Albrecht Irle & Andreas Ludwig, 2016. "Optimal portfolio selection under vanishing fixed transaction costs," Papers 1611.01280, arXiv.org, revised Jul 2017.
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