Portfolio selection in discrete time with transaction costs and power utility function : a perturbation analysis
Year of publication: |
March-April 2017
|
---|---|
Authors: | Quek, Gary ; Atkinson, Colin |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 1/2, p. 77-111
|
Subject: | Portfolio optimization | discrete time | transaction costs | power utility function | perturbation analysis | Theorie | Theory | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Nutzenfunktion | Utility function |
-
Optimal portfolio in the presence of transaction costs and convex risk measure
Doctor, O., (2017)
-
Portfolio optimization with discrete trading strategies in a continuous-time setting
Laue, Silke, (2003)
-
Homogenization and asymptotics for small transaction costs
Soner, Halil Mete, (2012)
- More ...
-
Dynamic portfolio optimization in discrete-time with transaction costs
Atkinson, Colin, (2012)
-
Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
Atkinson, Colin, (2012)
-
Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
Atkinson, Colin, (2012)
- More ...