Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 35 (2001)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/jmateco
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- Dai, Min & Wang, Hefei & Yang, Zhou, 2012. "Leverage management in a bull–bear switching market," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1585-1599.
- Keppo, Jussi & Kofman, Leonard & Meng, Xu, 2010. "Unintended consequences of the market risk requirement in banking regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2192-2214, October.
- Fernando Durrell, 2006. "Optimum Constrained Portfolio Rules in a Diffusion Market," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(4), pages 285-307.
- Valeri Zakamouline, 2004. "A Unified Approach to Portfolio Optimization with Linear Transaction Costs," GE, Growth, Math methods 0404003, EconWPA, revised 21 Apr 2004.
- Sennewald, Ken, 2005. "Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility," Dresden Discussion Paper Series in Economics 03/05, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
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