Merton's portfolio problem including market frictions : a closed-form formula supporting the shadow price approach
Year of publication: |
2019
|
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Authors: | Mariani, Francesca ; Recchioni, Maria Cristina ; Ciommi, Mariateresa |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 275.2019, 3 (16.6.), p. 1178-1189
|
Subject: | Finance | Merton’s portfolio | Stochastic control problems | Shadow prices | Trading costs | Theorie | Theory | Portfolio-Management | Portfolio selection | Opportunitätskosten | Opportunity cost |
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