Constant rebalanced portfolio optimization under nonlinear transaction costs (Q538327): Difference between revisions

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-Jun-Ya Gotoh
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+Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
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+Robust multiperiod portfolio management in the presence of transaction costs
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+Strategic asset allocation
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+An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
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+Optimization Methods in Finance
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+Publication:538327