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102
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CDC
2008
IEEE
110
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Control Systems
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CDC 2008
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Multistage investments with recourse: A single-asset case with transaction costs
15 years 9 months ago
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www.cds.caltech.edu
— We consider a financial decision problem involving dynamic investment decisions on a single risky instrument over multiple and discrete time periods. Investment returns are as...
Ufuk Topcu, Giuseppe Carlo Calafiore, Laurent El G...
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