A geometric approach to portfolio optimization in models with transaction costs
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References listed on IDEAS
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- Erhan Bayraktar & Yuchong Zhang, 2014. "Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs," Papers 1404.7406, arXiv.org, revised Nov 2014.
- Soren Christensen & Marc Wittlinger, 2012. "Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs," Papers 1209.0305, arXiv.org, revised Jun 2013.
- Thomas Breuer & Martin Jandačka, 2008. "Portfolio selection with transaction costs under expected shortfall constraints," Computational Management Science, Springer, vol. 5(4), pages 305-316, October.
- Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
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KeywordsCurrency market; transaction costs; consumption-investment problem; utility function; HJB equation; viscosity solution;
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