Xiuli Chao, K. K. Lai, Shouyang Wang, Mei Yu. Optimal Consumption Portfolio and No-Arbitrage with Nonproportional Transaction Costs. Annals OR, 135(1):211-221, 2005. [doi]
@article{ChaoLWY05,
title = {Optimal Consumption Portfolio and No-Arbitrage with Nonproportional Transaction Costs},
author = {Xiuli Chao and K. K. Lai and Shouyang Wang and Mei Yu},
year = {2005},
doi = {10.1007/s10479-005-6242-8},
url = {http://dx.doi.org/10.1007/s10479-005-6242-8},
researchr = {https://researchr.org/publication/ChaoLWY05},
cites = {0},
citedby = {0},
journal = {Annals OR},
volume = {135},
number = {1},
pages = {211-221},
}