Asymptotic analysis for target asset portfolio allocation with small transaction costs
Cong Liu, Harry Zheng (Department of Mathematics, Imperial College, London, UK)
| Year of publication: |
2016
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|---|---|
| Authors: | Liu, Cong ; Zheng, Harry |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 66.2016, p. 59-68
|
| Subject: | Target asset portfolio allocation | Tracking error | Proportional transaction costs | Magnus expansion | Asymptotic analysis | Theorie | Theory | Transaktionskosten | Transaction costs | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011442683