Perturbation solution of optimal portfolio theory with transaction costs for any utility function

IMA Journal of Management Mathematics

Volumn 13, Issue 2, 2002, Pages 131-151

  Mokkhavesa, S ^a   Atkinson, C ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

General utility function; Portfolio selection; Transaction costs

Indexed keywords

EID: 0036557736     PISSN: 1471678X     EISSN: None     Source Type: Journal    
DOI: 10.1093/imaman/13.2.131     Document Type: Article

References (13)