A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets

DOI10.1524/STND.2009.1049zbMath1203.91273OpenAlexW1964633447MaRDI QIDQ4930138

Claas Prelle, Albrecht Irle

Publication date: 28 September 2010

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/24844

zbMATH Keywords

transaction costsmultiple risky assetsHarris recurrenceaverage returnconstant boundary strategies

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Portfolio theory (91G10) Renewal theory (60K05)

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