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Optimal holding period for assets that must be liquidated: A certainty equivalent wealth approach

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  • Knight, John R.
  • Mandell, Lewis

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  • Knight, John R. & Mandell, Lewis, 1995. "Optimal holding period for assets that must be liquidated: A certainty equivalent wealth approach," Financial Services Review, Elsevier, vol. 4(2), pages 97-108.
    • Handle: RePEc:eee:finser:v:4:y:1995:i:2:p:97-108
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    1. Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472, World Scientific Publishing Co. Pte. Ltd..
    2. 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 247-257, August.
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