Small‐cost asymptotics for long‐term growth rates in incomplete markets (Q4642737)
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scientific article; zbMATH DE number 6873739
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small‐cost asymptotics for long‐term growth rates in incomplete markets |
scientific article; zbMATH DE number 6873739 |
Statements
Small‐cost asymptotics for long‐term growth rates in incomplete markets (English)
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25 May 2018
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asymptotic expansion
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Kelly criterion
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leading-order optimality
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Morton-Pliska
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pathwise optimality
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transaction costs
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