On discrete probability approximations for transaction cost problems
Nabeel Butt
Year of publication: |
2019
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Authors: | Butt, Nabeel |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 26.2019, 3, p. 365-389
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Subject: | Dynamic portfolio management | Transaction cost | Dynamic programming | Discrete probability approximations | Stochastic optimal control | Theorie | Theory | Transaktionskosten | Transaction costs | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
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