Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
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References listed on IDEAS
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- João Amaro de Matos & Nuno Silva, 2011. "Consuming durable goods when stock markets jump: a strategic asset allocation approach," GEMF Working Papers 2012-01, GEMF, Faculty of Economics, University of Coimbra.
- Wang, J. & Forsyth, P.A., 2010. "Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 207-230, February.
- Amaro de Matos, João & Silva, Nuno, 2014. "Consuming durable goods when stock markets jump: A strategic asset allocation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 86-104.
- Jin-Ray Lu & Chih-Ming Chan & Wen-Shen Li, 2011. "Portfolio Selections with Innate Learning Ability," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(3), pages 201-217, December.
- Briec, Walter & Kerstens, Kristiaan, 2010.
"Portfolio selection in multidimensional general and partial moment space,"
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- W. Briec & K. Kerstens, 2007. "Portfolio selection in multidimensional general and partial moment space," Post-Print hal-00296711, HAL.
- Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.
- W. Briec & K. Kerstens, 2010. "Portfolio selection in multidimensional general and partial moment space," Post-Print halshs-00473219, HAL.
- Kenneth Bruhn & Ninna Reitzel Jensen & Mogens Steffensen, 2016. "Smooth investment," Annals of Finance, Springer, vol. 12(3), pages 335-361, December.
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