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Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs.

Tyrone E. DuncanBozenna Pasik-DuncanLukasz Stettner
Published in: CDC (2008)
Keyphrases
  • transaction costs
  • portfolio selection
  • search costs
  • optimal portfolio
  • total cost
  • portfolio management
  • markov chain
  • stock exchange
  • financial markets
  • portfolio optimization
  • long term
  • non stationary