Portfolio Optimization over a Finite Horizon with Fixed and Proportional Transaction Costs and Liquidity Constraints
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Cited by:
- Stefano Baccarin, 2013. "Optimal Consumption of a Generalized Geometric Brownian Motion with Fixed and Variable Intervention Costs," Working papers 021, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
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More about this item
Keywords
Portfolio Optimization; Quasi-variational Inequalities; Transaction Costs; Viscosity Solutions;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D92 - Microeconomics - - Micro-Based Behavioral Economics - - - Intertemporal Firm Choice, Investment, Capacity, and Financing
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2013-02-03 (Computational Economics)
- NEP-ORE-2013-02-03 (Operations Research)
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