On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs
Year of publication: |
2016
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Authors: | Avanzi, Benjamin ; Tu, Vincent ; Wong, Bernard |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 46.2016, 3, p. 709-746
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Subject: | Brownian motion | Stochastic control | Dividends | Hybrid strategies | Barrier strategies | Transaction costs | Theorie | Theory | Stochastischer Prozess | Stochastic process | Transaktionskosten | Dividende | Dividend | Portfolio-Management | Portfolio selection |
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