OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
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Publication:3126240
DOI10.1111/j.1467-9965.1995.tb00071.xzbMath0866.90020OpenAlexW2070201264WikidataQ30040239 ScholiaQ30040239MaRDI QIDQ3126240
Andrew J. Morton, Stanley R. Pliska
Publication date: 6 July 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00071.x
investmentgeometric Brownian motionfixed transaction costsstopping time problemoptimal portfolio management policies
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