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Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

  • Chellathurai, Thamayanthi
  • Draviam, Thangaraj
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 31 (2007)
    Issue (Month): 7 (July)
    Pages: 2168-2195

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    Handle: RePEc:eee:dyncon:v:31:y:2007:i:7:p:2168-2195
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    1. C. Atkinson & S. Mokkhavesa, 2003. "Intertemporal portfolio optimization with small transaction costs and stochastic variance," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(4), pages 267-302.
    2. Ralf Korn, 1998. "Portfolio optimisation with strictly positive transaction costs and impulse control," Finance and Stochastics, Springer, vol. 2(2), pages 85-114.
    3. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
    4. Atkins, Allen B & Dyl, Edward A, 1997. " Transactions Costs and Holding Periods for Common Stocks," Journal of Finance, American Finance Association, vol. 52(1), pages 309-25, March.
    5. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    6. Constantinides, George M, 1986. "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, University of Chicago Press, vol. 94(4), pages 842-62, August.
    7. Magill, Michael J. P. & Constantinides, George M., 1976. "Portfolio selection with transactions costs," Journal of Economic Theory, Elsevier, vol. 13(2), pages 245-263, October.
    8. Zakamouline, Valeri I., 2006. "European option pricing and hedging with both fixed and proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 1-25, January.
    9. Tourin, Agnès & Zariphopoulou, Thaleia, 1997. "Viscosity Solutions and Numerical Schemes for Investment / Consumption Models with Transaction Costs," Economics Papers from University Paris Dauphine 123456789/6373, Paris Dauphine University.
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