A model of optimal consumption under liquidity risk with random trading times
Year of publication: |
2008
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Authors: | Pham, Huyên ; Tankov, Peter |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 18.2008, 4, p. 613-627
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Subject: | Portfolio-Management | Portfolio selection | Konsumtheorie | Consumption theory | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Theorie | Theory |
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