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Merton's portfolio problem including market frictions: A closed-form formula supporting the shadow price approach.
Francesca Mariani
Maria Cristina Recchioni
Mariateresa Ciommi
Published in:
Eur. J. Oper. Res. (2019)
Keyphrases
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closed form
market data
decision making
portfolio management
point correspondences
portfolio selection
financial markets
iterative procedure
stock market
closed form solutions
closed form expressions
electronic markets
investment strategies
partition function
financial data
rigid motion
wavelet coefficients