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"Merton's portfolio problem including market frictions: A closed-form ..."

Francesca Mariani, Maria Cristina Recchioni, Mariateresa Ciommi (2019)

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DOI: 10.1016/J.EJOR.2018.12.022

access: closed

type: Journal Article

metadata version: 2022-04-09

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Francesca Mariani, Maria Cristina Recchioni, Mariateresa Ciommi:
Merton's portfolio problem including market frictions: A closed-form formula supporting the shadow price approach. Eur. J. Oper. Res. 275(3): 1178-1189 (2019)

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