Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Year of publication: |
January 2018
|
---|---|
Authors: | Czichowsky, Christoph ; Peyre, Rémi ; Schachermayer, Walter ; Yang, Junjian |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 1, p. 161-180
|
Subject: | Proportional transaction costs | Fractional Brownian motion | Shadow prices | Two-way crossing | Logarithmic utility | Stochastischer Prozess | Stochastic process | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Opportunitätskosten | Opportunity cost | Portfolio-Management | Portfolio selection |
-
Shadow prices for continuous processes
Czichowsky, Christoph, (2017)
-
Optimal investment with random endowments and transaction costs : duality theory and shadow prices
Bayraktar, Erhan, (2019)
-
Bayer, Christian, (2014)
- More ...
-
Shadow prices for continuous processes
Czichowsky, Christoph, (2014)
-
Shadow prices for continuous processes
Czichowsky, Christoph, (2017)
-
Transaction Costs, Shadow Prices, and Duality in Discrete Time
Czichowsky, Christoph, (2012)
- More ...