Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach (Q1719648): Difference between revisions
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Latest revision as of 02:07, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach |
scientific article |
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Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach (English)
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11 February 2019
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finance
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Merton's portfolio
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stochastic control problems
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shadow prices
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trading costs
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