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Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs.
Xinfu Chen
Min Dai
Published in:
SIAM J. Financial Math. (2013)
Keyphrases
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optimal strategy
transaction costs
portfolio management
decision problems
monte carlo
expected utility
expected cost
stock exchange
cooperative game
mathematical models
search costs
artificial intelligence
information technology
portfolio selection
decision making
long run