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Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs.
Tyrone E. Duncan
Bozenna Pasik-Duncan
Lukasz Stettner
Published in:
CDC (2008)
Keyphrases
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transaction costs
portfolio selection
search costs
optimal portfolio
total cost
portfolio management
markov chain
stock exchange
financial markets
portfolio optimization
long term
non stationary