Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach (Q1719648)
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scientific article; zbMATH DE number 7020261
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| English | Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach |
scientific article; zbMATH DE number 7020261 |
Statements
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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0.8190450668334961
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0.7992324829101562
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0.7897858619689941
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0.7822187542915344
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