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Portfolio selection with transactions costs

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Author Info
Magill, Michael J. P.
Constantinides, George M.

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6WJ3-4CYG96H-5B/2/fa56dd498ab0993d7ebdac7d212a9ad6
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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 13 (1976)
Issue (Month): 2 (October)
Pages: 245-263
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Handle: RePEc:eee:jetheo:v:13:y:1976:i:2:p:245-263

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Web page: http://www.elsevier.com/locate/inca/622869

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  1. Romuald Elie & Nizar Touzi, 2008. "Optimal lifetime consumption and investment under a drawdown constraint," Finance and Stochastics, Springer, vol. 12(3), pages 299-330, July. [Downloadable!] (restricted)
  2. Claas Prelle & Albrecht Irle, 2008. "A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets," Kiel Working Papers 1449, Kiel Institute for the World Economy. [Downloadable!]
  3. Martins-da-Rocha, V. F. & Vailakis, Yiannis, 2008. "Endogenous Transaction Costs," Economics Working Papers (Ensaios Economicos da EPGE) 680, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  4. Hans Gerhard Heidle, 1999. "Market Microstructure and Asset Pricing: A Survey," Discussion Papers 691, The Research Institute of the Finnish Economy. [Downloadable!]
  5. CITANNA, Alessandro, 2000. "Proportional transaction costs on asset trades : a note on existence by homotopy methods," Les Cahiers de Recherche 717, HEC Paris. [Downloadable!]
  6. Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999. "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-033, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:
  7. Jaime A. Londo\~no, 2006. "State Dependent Utility," Quantitative Finance Papers math/0603316, arXiv.org. [Downloadable!]
  8. Thomas Breuer & Martin Jandačka, 2008. "Portfolio selection with transaction costs under expected shortfall constraints," Computational Management Science, Springer, vol. 5(4), pages 305-316, October. [Downloadable!] (restricted)
  9. Luc Arrondel & André Masson, 1990. "Hypothèse du cycle de vie, diversification et composition du patrimoine: France 1986," Annales d'Economie et de Statistique, ADRES, issue 17, pages 01, Janvier-M. [Downloadable!]
  10. Min Dai & Zuo Quan Xu & Xun Yu Zhou, 2009. "Continuous-Time Markowitz's Model with Transaction Costs," Quantitative Finance Papers 0906.0678, arXiv.org. [Downloadable!]
  11. Chau, Minh, 2002. "A Dynamic equilibrium with small fixed transactions costs," ESSEC Working Papers DR 02025, ESSEC Research Center, ESSEC Business School. [Downloadable!]
  12. Michael J. P. Magill, 1978. "On Cyclical Motion in Dynamic Economics," Discussion Papers 334, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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This page was last updated on 2009-12-3.


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