Semimartingale price systems in models with transaction costs beyond efficient friction
Year of publication: |
2022
|
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Authors: | Kühn, Christoph ; Molitor, Alexander |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 4, p. 927-982
|
Subject: | No unbounded profit with bounded risk | Proportional transaction costs | Semimartingales | Stochastic integration | Strategies of infinite variation | Theorie | Theory | Transaktionskosten | Transaction costs | Martingal | Martingale | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
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