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Optimal Investment with High-watermark Performance Fee.

, and . SIAM J. Control and Optimization, 50 (2): 790-819 (2012)

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Asymptotic analysis for optimal investment and consumption with transaction costs., and . Finance and Stochastics, 8 (2): 181-206 (2004)Optimal Investment with High-watermark Performance Fee., and . SIAM J. Control and Optimization, 50 (2): 790-819 (2012)