A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees

DOI10.1287/moor.13.2.277zbMath0850.93886OpenAlexW2051614088MaRDI QIDQ4711562

David Assaf, Michael J. Klass, Michael I. Taksar

Publication date: 25 June 1992

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.13.2.277

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

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