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http://dx.doi.org/10.4134/JKMS.2007.44.1.139

OPTIMAL PORTFOLIO SELECTION WITH TRANSACTION COSTS WHEN AN ILLIQUID ASSET PAYS CASH DIVIDENDS  

Jang, Bong-Gyu (Derivatives Supervision Team Financial Supervisory Service)
Publication Information
Journal of the Korean Mathematical Society / v.44, no.1, 2007 , pp. 139-150 More about this Journal
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;
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