Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Liu, Cong & Zheng, Harry, 2016. "Asymptotic analysis for target asset portfolio allocation with small transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 59-68.
- Jan Kallsen & Shen Li, 2013. "Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach," Papers 1309.3479, arXiv.org.
- Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2011. "Transaction Costs, Trading Volume, and the Liquidity Premium," Papers 1108.1167, arXiv.org, revised Jan 2013.
- Albert Altarovici & Max Reppen & H. Mete Soner, 2016. "Optimal Consumption and Investment with Fixed and Proportional Transaction Costs," Papers 1610.03958, arXiv.org.
- Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2014. "Transaction costs, trading volume, and the liquidity premium," Finance and Stochastics, Springer, vol. 18(1), pages 1-37, January.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
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