Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints

DOI10.1137/120885036zbMath1296.91253arXiv1205.4588OpenAlexW2049869571MaRDI QIDQ2873124

Johannes Muhle-Karbe, Ren Liu

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4588

zbMATH Keywords

transaction costsportfolio choiceportfolio constraintslong-run

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

General indifference pricing with small transaction costs ⋮ Portfolio Choice with Transaction Costs: A User’s Guide

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