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Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment.

Giuseppe BenedettiLuciano Campi
Published in: SIAM J. Control. Optim. (2012)
Keyphrases
  • transaction costs
  • utility maximization
  • utility function
  • search costs
  • stochastic gradient
  • machine learning
  • long term
  • multi objective
  • stock exchange