On using shadow prices in portfolio optimization with transaction costs
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- S. P. Sethi & N. A. Derzko & J. P. Lehoczky, 1991. "A Stochastic Extension of the Miller-Modigliani Framework," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 57-76.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-06 (All new papers)
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