ms·1976년 4월 1일
Note—Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income
Management Science
20
피인용
2.4
FWCI
3
IS/마케팅/OM 탑저널 피인용
1
IS/마케팅/OM 탑저널 참고문헌
- 주제투자 포트폴리오 최적화 · 의사결정분석
01Abstract
Kamin's theorem [Kamin, Jules H. 1975. Optimal portfolio revision with a proportional transaction cost. Management Sci. 21 (11, July).] on portfolio revision with proportional transaction costs is extended to allow for hyperbolic absolute risk averse investors and for the possibility of exogenous deterministic income, assuming that one of the two investment opportunities is riskless.
02연구 흐름
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03비슷한 논문
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04이후 연구
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05선행 연구
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06서지 정보
- 저널Management Science · 22(8) · 921–923
- 토픽Financial Markets and Investment Strategies · Finance
- DOI10.1287/mnsc.22.8.921
- 저자George M. Constantinides