Journal of the Korean Mathematical Society (대한수학회지)

Korean Mathematical Society (대한수학회)
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OPTIMAL PORTFOLIO SELECTION WITH TRANSACTION COSTS WHEN AN ILLIQUID ASSET PAYS CASH DIVIDENDS

  • Jang, Bong-Gyu (Derivatives Supervision Team Financial Supervisory Service)
  • Published : 2007.01.31
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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

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