Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion (Q2403132)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion |
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Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion (English)
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15 September 2017
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portfolio choice
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non-semimartingale price processes
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fractional Brownian motion
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proportional transaction costs
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utilities on the whole real line
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exponential utility
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shadow price
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convex duality
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stickiness
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optimal trading strategies
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