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 20:33, 14 August 2024

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Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
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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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