Asymptotic analysis for Merton's problem with transaction costs in power utility case
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- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
Journal of Economic Theory,
Elsevier, vol. 3(4), pages 373-413, December.
- 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.
- 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.
- J. Kallsen & J. Muhle-Karbe, 2010. "On using shadow prices in portfolio optimization with transaction costs," Papers 1010.4989, arXiv.org.
- Karel Janeček & Steven Shreve, 2004. "Asymptotic analysis for optimal investment and consumption with transaction costs," Finance and Stochastics, Springer, vol. 8(2), pages 181-206, May.
- Stefan Gerhold & Johannes Muhle-Karbe & Walter Schachermayer, 2010. "Asymptotics and Duality for the Davis and Norman Problem," Papers 1010.0627, arXiv.org, revised Aug 2011.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
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