LIBROS DEL AUTOR: carola denise fekter

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  • Portfolio Optimization under Transaction Costs
    Carola Denise Fekter
    The classical investment models like the famous Markowitz Model are one-period models based only on the expected growth rate and volatility of a stock, and do not make any assumptions on the exact behaviour or probability distributions of risky assets. It was a milestone of Robert C.Merton to consider an investment-consumption problem where risky assets follow a Geometri...
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