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    SIAMCO
    2002
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    Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
    13 years 9 months ago
    Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
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    We consider a market model with one riskfree and one risky asset, in which the dynamics of the risky asset is governed by a geometric Brownian motion. In this market we consider a...
    Bernt Oksendal, Agnès Sulem
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