Transactions costs and portfolio choice in a discrete-continuous-time setting
نویسندگان
چکیده
منابع مشابه
Transactions Costs and Portfolio Choice in a Discrete - Continuous Time Setting
This paper makes the following observation concerning a new formulation of the consumption and portfolio choice model of Merton (1971), with transactions costs. Suppose an investor observes his or her current wealth only when making a transaction, that transactions are costly, and that decisions to transact can be made at any time based on all current information. If, at each transaction, the a...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 1990
ISSN: 0165-1889
DOI: 10.1016/0165-1889(90)90004-z