Merton's portfolio problem including market frictions: A closed-form formula supporting the shadow price approach

Francesca Mariani, Maria Cristina Recchioni, Mariateresa Ciommi. Merton's portfolio problem including market frictions: A closed-form formula supporting the shadow price approach. European Journal of Operational Research, 275(3):1178-1189, 2019. [doi]

Abstract

Abstract is missing.