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Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences.

George M. ConstantinidesThaleia Zariphopoulou
Published in: Finance Stochastics (1999)
Keyphrases
  • transaction costs
  • special case
  • search costs
  • upper bound
  • data mining
  • machine learning
  • lower bound
  • user preferences
  • portfolio selection