A computational scheme for optimal investment - consumption with proportional transaction costs
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 31 (2007)
Issue (Month): 4 (April)
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Web page: http://www.elsevier.com/locate/jedc
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- Karel Janeček & Steven Shreve, 2004. "Asymptotic analysis for optimal investment and consumption with transaction costs," Finance and Stochastics, Springer, vol. 8(2), pages 181-206, 05.
- Andrew J. Morton & Stanley R. Pliska, 1995. "Optimal Portfolio Management With Fixed Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 5(4), pages 337-356.
- Constantinides, George M, 1986. "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, University of Chicago Press, vol. 94(4), pages 842-62, August.
- Magill, Michael J. P. & Constantinides, George M., 1976. "Portfolio selection with transactions costs," Journal of Economic Theory, Elsevier, vol. 13(2), pages 245-263, October.
- Tourin, Agnès & Zariphopoulou, Thaleia, 1997. "Viscosity Solutions and Numerical Schemes for Investment / Consumption Models with Transaction Costs," Economics Papers from University Paris Dauphine 123456789/6373, Paris Dauphine University.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
- Duffie, Darrell & Sun, Tong-sheng, 1990. "Transactions costs and portfolio choice in a discrete-continuous-time setting," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 35-51, February.
- Roland Herzog & Karl Kunisch & Jörn Sass, 2013. "Primal-dual methods for the computation of trading regions under proportional transaction costs," Computational Statistics, Springer, vol. 77(1), pages 101-130, February.
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