"Dynamic portfolio optimization with transaction costs and state-dependent ..."

Jan Palczewski et al. (2015)

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DOI: 10.1016/J.EJOR.2014.12.040

access: closed

type: Journal Article

metadata version: 2020-02-21

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Jan Palczewski, Rolf Poulsen, Klaus Reiner Schenk-Hoppé, Huamao Wang:
Dynamic portfolio optimization with transaction costs and state-dependent drift. Eur. J. Oper. Res. 243(3): 921-931 (2015)

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