Portfolio Optimization over a Finite Horizon with Fixed and Proportional Transaction Costs and Liquidity Constraints
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References listed on IDEAS
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More about this item
KeywordsPortfolio Optimization; Quasi-variational Inequalities; Transaction Costs; Viscosity Solutions;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D92 - Microeconomics - - Micro-Based Behavioral Economics - - - Intertemporal Firm Choice, Investment, Capacity, and Financing
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-03 (All new papers)
- NEP-CMP-2013-02-03 (Computational Economics)
- NEP-ORE-2013-02-03 (Operations Research)
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