A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
暂无分享,去创建一个
[1] Robert M. Bell,et al. Competitive Optimality of Logarithmic Investment , 1980, Math. Oper. Res..
[2] H. Latané. Criteria for Choice Among Risky Ventures , 1959, Journal of Political Economy.
[3] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[4] R. C. Merton,et al. Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3 , 1971 .
[5] Steven E. Shreve,et al. Connections between optimal stopping and stochastic control I. Monotone follower problems , 1984, Advances in Applied Probability.
[6] J. Michael Harrison,et al. Instantaneous Control of Brownian Motion , 1983, Math. Oper. Res..
[7] N. H. Hakansson.. Capital Growth and the Mean-Variance Approach to Portfolio Selection , 1971, Journal of Financial and Quantitative Analysis.
[8] E. Renshaw,et al. STOCHASTIC DIFFERENTIAL EQUATIONS , 1974 .
[9] E. Thorp,et al. The Capital Growth Model: An Empirical Investigation , 1973, Journal of Financial and Quantitative Analysis.
[10] Michael I. Taksar,et al. Average Optimal Singular Control and a Related Stopping Problem , 1985, Math. Oper. Res..
[11] S. Sethi,et al. A Note on Merton's 'Optimum Consumption and Portfolio Rules in a Continuous-Time Model' , 1988 .
[12] J. A. Bather. A diffusion model for the control of a dam , 1968 .
[13] D. P. Gaver,et al. Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers , 1984 .
[14] E. Thorp. Portfolio Choice and the Kelly Criterion , 1975 .
[15] I. Karatzas. A class of singular stochastic control problems , 1983, Advances in Applied Probability.
[16] P. Samuelson. Lifetime Portfolio Selection by Dynamic Stochastic Programming , 1969 .
[17] P. Samuelson. Mathematics of Speculative Price , 1973 .