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Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

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Author Info
Framstad, Nils Chr.
Oksendal, Bernt
Sulem, Agnes
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Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 35 (2001)
Issue (Month): 2 (April)
Pages: 233-257
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Handle: RePEc:eee:mateco:v:35:y:2001:i:2:p:233-257

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  1. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152_v1, HAL. [Downloadable!]
    Other versions:
  2. Fernando Durrell, 2006. "Optimum Constrained Portfolio Rules in a Diffusion Market," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(4), pages 285-307, December. [Downloadable!] (restricted)
  3. Ken Sennewald & Klaus Wälde, 2006. "“Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
  4. Valeri Zakamouline, 2004. "A Unified Approach to Portfolio Optimization with Linear Transaction Costs," GE, Growth, Math methods 0404003, EconWPA, revised 21 Apr 2004. [Downloadable!]
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