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Optimal Consumption and Investment with Fixed and Proportional Transaction Costs.

Albert AltaroviciA. Max ReppenH. Mete Soner
Published in: SIAM J. Control. Optim. (2017)
Keyphrases
  • transaction costs
  • portfolio management
  • dynamic programming
  • decision making
  • optimal solution
  • machine learning
  • information retrieval
  • third party
  • real option