Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
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Publication:626431
DOI10.1007/s00245-010-9113-xzbMath1231.91400OpenAlexW2141805305MaRDI QIDQ626431
T. Duncan, Bozenna Pasik-Duncan, Łukasz Stettner
Publication date: 18 February 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-010-9113-x
Related Items (4)
On an Approximation of Average Cost per Unit Time Impulse Control of Markov Processes ⋮ Impulse Control Maximizing Average Cost per Unit Time: A Nonuniformly Ergodic Case ⋮ Growth optimal portfolio selection under proportional transaction costs with obligatory diversification ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
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