PORTFOLIO OPTIMISATION IN THE PRESENCE OF TRANSACTION COSTS

Ralf Korn
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Ralf Korn: Johannes Gutenberg-Universität Mainz, Germany

Chapter 5 in Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time, 1997, pp 151-221 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Optimal Life-Time Consumption with Proportional Transaction CostsImpulse Control Methods and Portfolio Optimisation with Strictly Positive Transaction CostsMaximising the Growth Rate under Fixed Transaction Costs

Date: 1997
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