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    ANOR
    2005
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    Optimal Consumption Portfolio and No-Arbitrage with Nonproportional Transaction Costs
    13 years 10 months ago
    Optimal Consumption Portfolio and No-Arbitrage with Nonproportional Transaction Costs
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    In this paper we consider a finite-state financial market with non-proportional transaction cost and bid-ask spreads. The transaction cost consists of two parts: a fixed cost and a...
    Xiuli Chao, K. K. Lai, Shouyang Wang, Mei Yu
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