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20162026
most citedA multi-asset investment and consumption problem with transaction costs

2 citations · 2 across the 4 of their papers we have counts for

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econ.GN2024

Portfolio Optimization under Transaction Costs with Recursive Preferences

Martin Herdegen, David Hobson, Alex S. L. Tse

The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control. An important extension of the problem adds transaction costs, whi…