A unified approach to portfolio optimization with linear transaction costs
Year of publication: |
2005
|
---|---|
Authors: | Zakamouline, Valeri |
Published in: |
Mathematical Methods of Operations Research. - Springer. - Vol. 62.2005, 2, p. 319-343
|
Publisher: |
Springer |
Subject: | Portfolio choice | Transaction costs | Stochastic singular control | Stochastic impulse control | Computational methods |
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