Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
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Publication:1719648
DOI10.1016/j.ejor.2018.12.022zbMath1431.91368OpenAlexW2906547263WikidataQ128690036 ScholiaQ128690036MaRDI QIDQ1719648
Mariateresa Ciommi, Francesca Mariani, Maria Cristina Recchioni
Publication date: 11 February 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2018.12.022
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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