Merton's portfolio problem including market frictions : a closed-form formula supporting the shadow price approach
Francesca Mariani, Maria Cristina Recchioni, Mariateresa Ciommi
| 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
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| Subject: | Finance | Merton’s portfolio | Stochastic control problems | Shadow prices | Trading costs | Opportunitätskosten | Opportunity cost | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.12.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011993680