Portfolio optimization under transaction costs in the CRR model
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Publication:1781148
DOI10.1007/S00186-005-0415-8zbMath1125.91360OpenAlexW2019714556MaRDI QIDQ1781148
Publication date: 16 June 2005
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-005-0415-8
Applications of mathematical programming (90C90) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)
Related Items (6)
No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach ⋮ Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis ⋮ Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs ⋮ Optimal portfolio policies under fixed and proportional transaction costs ⋮ Numeraire portfolios and utility-based price systems under proportional transaction costs ⋮ UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS
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