The attainability of the portfolio optimization under transaction costs (Q2721936)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The attainability of the portfolio optimization under transaction costs |
scientific article; zbMATH DE number 1616976
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The attainability of the portfolio optimization under transaction costs |
scientific article; zbMATH DE number 1616976 |
Statements
11 July 2001
0 references
average hedging strategies
0 references
transaction cost
0 references
The attainability of the portfolio optimization under transaction costs (English)
0 references
The authors propose a normalized frictional market where trades are restricted to take place merely between bonds and stocks, trades between stocks are excluded. The attainability of the portfolio optimization under transaction costs is discussed using the usual martingale approach and duality methods.
0 references
