Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs

DOI10.1007/978-3-319-47766-4_21zbMath1376.91155OpenAlexW2592182165MaRDI QIDQ4595367

Jörn Sass, Manfred Schäl

Publication date: 30 November 2017

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-47766-4_21

zbMATH Keywords

dynamic programmingutility functionproportional transaction costsconsistent price systemnumeraire portfolio

Mathematics Subject Classification ID

Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market

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