Almost Surely Optimal Portfolios Under Proportional Transaction Costs
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Publication:4976506
DOI10.1007/978-3-319-45875-5_14zbMath1367.91164OpenAlexW2559332547MaRDI QIDQ4976506
Jan Kallsen, Mark-Roman Feodoria
Publication date: 31 July 2017
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_14
Approximation methods and heuristics in mathematical programming (90C59) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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