Portfolio optimization under transaction costs in the CRR model
Year of publication: |
2005
|
---|---|
Authors: | Sass, Jörn |
Published in: |
Mathematical Methods of Operations Research. - Springer. - Vol. 61.2005, 2, p. 239-259
|
Publisher: |
Springer |
Subject: | Portfolio optimization | Transaction costs | CRR model | Utility maximization | Markov control processes |
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