LIU Hailong, SUN Liang, PAN Dehui. THE PROBLEM FOR PORTFOLIO INVESTMENT DECISION WITH FIXED TRANSACTION COSTS[J]. INFORMATION AND CONTROL, 1999, 28(2): 136-140.
Citation:
LIU Hailong, SUN Liang, PAN Dehui. THE PROBLEM FOR PORTFOLIO INVESTMENT DECISION WITH FIXED TRANSACTION COSTS[J]. INFORMATION AND CONTROL, 1999, 28(2): 136-140.
LIU Hailong, SUN Liang, PAN Dehui. THE PROBLEM FOR PORTFOLIO INVESTMENT DECISION WITH FIXED TRANSACTION COSTS[J]. INFORMATION AND CONTROL, 1999, 28(2): 136-140.
Citation:
LIU Hailong, SUN Liang, PAN Dehui. THE PROBLEM FOR PORTFOLIO INVESTMENT DECISION WITH FIXED TRANSACTION COSTS[J]. INFORMATION AND CONTROL, 1999, 28(2): 136-140.
THE PROBLEM FOR PORTFOLIO INVESTMENT DECISION WITH FIXED TRANSACTION COSTS
This paper studies the problem for portfolio investment decision with fixed transaction costs on the basis of the model established by Pliska and Selby.Using the transformation of the function, we will transform a class of tree boundary of the multidimensional second-order partial differential equation in portfolio investment decision into a much simpler one.
DownLoad: