𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Dynamic portfolio selection with nonlinear transaction costs

✍ Scribed by Chellathurai, Thamayanthi; Draviam, Thangaraj


Book ID
120147731
Publisher
The Royal Society
Year
2005
Tongue
English
Weight
468 KB
Volume
461
Category
Article
ISSN
0962-8444

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Multi-asset portfolio selection problem
✍ Marianne Akian; Jose Luis Menaldi; AgnΓ¨s Sulem πŸ“‚ Article πŸ“… 1995 πŸ› Elsevier Science 🌐 English βš– 469 KB

This paper considers the optimal consumption and investment policy for an investor who has available one bank account paying a fixed interest rate r and n risky assets whose prices are log-normal diffusions. We suppose that transactions between the assets incur a cost proportional to the size of the

Portfolio Management with Transaction Co
✍ Colin Atkinson, Stanley R. Pliska and Paul Wilmott πŸ“‚ Article πŸ“… 1997 πŸ› The Royal Society 🌐 English βš– 288 KB