Dumas is with the Wharton School of the University of Pennsylvania, HEC School of Management, and National Bureau of Economic Research. Luciano is with the Università di Torino, Italy. Dumas gratefully acknowledges the financial support of the A. Shoemaker term chain at the Wharton School. Both authors are grateful to an anonymous referee of this Journal, to Jérôme Detemple, Sanford Grossman, Bruce Lehman, Jean-Luc Vila, participants of workshops at the NBER, Columbia University, the University of Warwick, and the University of Stockholm for helpful comments, and to Francisco Delgado for his diligent and effective research assistance. This paper has evolved from the first part of a document entitled: “Bid-ask Option Pricing under Transactions Costs” which was first presented at an International Conference held at HEC School of Management in June 1988.
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
Version of Record online: 30 APR 2012
© 1991 the American Finance Association
The Journal of Finance
Volume 46, Issue 2, pages 577–595, June 1991
How to Cite
DUMAS, B. and LUCIANO, E. (1991), An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs. The Journal of Finance, 46: 577–595. doi: 10.1111/j.1540-6261.1991.tb02675.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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