2 search results - page 1 / 1 » Optimal Consumption and Portfolio with Both Fixed and Propor... |
SIAMCO
2002
13 years 3 months ago
2002
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...
ANOR
2005
13 years 4 months ago
2005
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...