Portfolio selection with transactions costs

DOI10.1016/0022-0531(76)90018-1zbMath0361.90001OpenAlexW2041823389MaRDI QIDQ1239674

Michael J. P. Magill, George M. Constantinides

Publication date: 1976

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(76)90018-1

Mathematics Subject Classification ID

Decision theory (91B06)

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• The preferability of investment through a mutual fund
• Stochastic Cash Management with Fixed and Proportional Transaction Costs
• An Intertemporal Capital Asset Pricing Model
• Risk Aversion in the Small and in the Large
• Optimal Discounted Stochastic Control for Diffusion Processes
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• Consumer Choice, Portfolio Decisions, and Transaction Costs
• Optimal Inventory Policy
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