Investment strategies in the long run with proportional transaction costs and a HARA utility function
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Publication:3623414
DOI10.1080/14697680802039873zbMath1158.91376OpenAlexW1988001656MaRDI QIDQ3623414
Publication date: 20 April 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22121
Related Items (3)
Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ Numeraire portfolios and utility-based price systems under proportional transaction costs ⋮ Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
Cites Work
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