A unified approach to portfolio optimization with linear transaction costs (Q2433238)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A unified approach to portfolio optimization with linear transaction costs |
scientific article |
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A unified approach to portfolio optimization with linear transaction costs (English)
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27 October 2006
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portfolio choice
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transaction costs
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stochastic singular control
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stochastic impulse control
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computational methods
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