This paper investigates consumption and portfolio turnpike theorems in a continuous-time model. When the inverse functions of the derivative of utility functions for consumption and investment belong to a special subclass of regularly varying functions, it is shown that optimum portfolio, รฟnal wealt
Transactions costs and portfolio choice in a discrete-continuous-time setting
โ Scribed by Darrell Duffie; Tong-sheng Sun
- Publisher
- Elsevier Science
- Year
- 1990
- Tongue
- English
- Weight
- 823 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0165-1889
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