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Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs.

Jin Hyuk ChoiMihai SîrbuGordan Zitkovic
Published in: SIAM J. Control. Optim. (2013)
Keyphrases
  • transaction costs
  • search costs
  • portfolio management
  • long run
  • decision making
  • dynamic programming
  • market data
  • network revenue management
  • objective function
  • optimal solution