Geodesic
Optimal investment with operating costs proportional to the capital portfolio
Trudy Matematicheskogo Instituta imeni V.A. Steklova, Tome 51 (1996) no. 6, pp. 1227-1228 Cet article a éte moissonné depuis la source Math-Net.Ru

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S. N. Volkov. Optimal investment with operating costs proportional to the capital portfolio. Trudy Matematicheskogo Instituta imeni V.A. Steklova, Tome 51 (1996) no. 6, pp. 1227-1228. http://geodesic.mathdoc.fr/item/RM_1996_51_6_a21/

[1] Morton A. J., Pliska S. R., “Optimal Portfolio Management with Fixed Transaction Costs”, Math. Finance, 5:4 (1995), 337–356 | DOI | MR | Zbl

[2] Atkinson C., Wilmott P., “Portfolio Management with Transaction Costs: An Asymptotic Analysis of the Morton and Pliska Model”, Math. Finance, 5:4 (1995), 357–367 | DOI | Zbl

[3] Merton R. C., “Lifetime Portfolio Selection under Uncertainty. The Continuous Time Case”, The Review of Economics and Statistics, 51:3 (1989), 247–257 | DOI