Optimal Consumption Portfolio and No-Arbitrage with Nonproportional Transaction Costs.

Xiuli Chao K. K. Lai Shouyang Wang Mei Yu

Published in: Ann. Oper. Res. (2005)

Keyphrases

transaction costs
portfolio management
portfolio selection
dynamic programming
stock exchange
search costs
optimal solution
transaction cost economics
decision making
stock price
portfolio optimization
optimal portfolio
machine learning
long term
natural language processing
stock market