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OPTIMAL PORTFOLIO SELECTION WITH TRANSACTION COSTS WHEN AN ILLIQUID ASSET PAYS CASH DIVIDENDS
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 Title & Authors
OPTIMAL PORTFOLIO SELECTION WITH TRANSACTION COSTS WHEN AN ILLIQUID ASSET PAYS CASH DIVIDENDS
Jang, Bong-Gyu;
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 Abstract
We investigate an optimal portfolio selection problem with transaction costs when an illiquid asset pays cash dividends and there are constraints on the illiquid asset holding. We provide closed form solutions for the problem, and by using these solutions we illustrate interesting features of optimal policies.
 Keywords
optimal portfolio;consumption;investment;dividend;transaction costs;
 Language
English
 Cited by
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A Note on Symmetric Properties of the Twisted q-Bernoulli Polynomials and the Twisted Generalized q-Bernoulli Polynomials, Advances in Difference Equations, 2010, 2010, 1  crossref(new windwow)
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Multi-period mean-variance portfolio selection with fixed and proportional transaction costs, Journal of Industrial and Management Optimization, 2013, 9, 3, 643  crossref(new windwow)
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