Optimal investment in the foreign exchange market with proportional transaction costs
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DOI: 10.1080/14697680903460150
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- Lu, Jin-Ray & Chan, Chih-Ming & Wen, Mei-Hui, 2012. "Which demands affect optimal international portfolio choices?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1292-1306.
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Keywords
Applied mathematical finance; Consumption-portfolio choice; Continuous time dynamic finance; Control of stochastic systems;All these keywords.
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