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The dual optimizer for the growth-optimal portfolio under transaction costs - MaRDI portal

The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044)

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The dual optimizer for the growth-optimal portfolio under transaction costs
scientific article

    Statements

    title
    The dual optimizer for the growth-optimal portfolio under transaction costs (English)
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    author
    Stefan Gerhold
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    Johannes Muhle-Karbe
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    Walter Schachermayer
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    publication date
    2 April 2013
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    zbMATH Keywords
    transaction costs
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    growth-optimal portfolio
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    shadow price
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    cites work
    Q3150773
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    Q4349924
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    Q3160516
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60H10
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    60H30
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    zbMATH DE Number
    6149292
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    OpenAlex ID
    W2115729786
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    arXiv ID
    1005.5105
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