Portfolio optimization under transaction costs in the CRR model (Q1781148)
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scientific article; zbMATH DE number 2176415
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization under transaction costs in the CRR model |
scientific article; zbMATH DE number 2176415 |
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Portfolio optimization under transaction costs in the CRR model (English)
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16 June 2005
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Portfolio optimization
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Transaction costs
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CRR model
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Utility maximization
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Markov control processes
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