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Portfolio optimization under transaction costs in the CRR model |
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| Authors: | Jörn Sass |
| Affiliation: | (1) Austrian Academy of Sciences, RICAM, Altenberger Str. 69, A-4040 Linz, Austria |
| Abstract: | |
| Keywords: | Portfolio optimization Transaction costs CRR model Utility maximization Markov control processes |
| 本文献已被 SpringerLink 等数据库收录！ | |
