Small-cost asymptotics for long-term growth rates in incomplete markets
Year of publication: |
2018
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Authors: | Melnyk, Yaroslav ; Seifried, Frank Thomas |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 2, p. 668-711
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Subject: | asymptotic expansion | Kelly criterion | leading-order optimality | Morton-Pliska | pathwise optimality | transaction costs | Theorie | Theory | Transaktionskosten | Transaction costs | Unvollkommener Markt | Incomplete market |
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