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~isPartOf:"Finance and stochastics"
~person:"Schachermayer, Walter"
~subject:"Control theory"
~subject:"Transaktionskosten"
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Control theory
Transaktionskosten
Transaction costs
4
Portfolio selection
3
Portfolio-Management
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Theorie
3
Theory
3
Bid-ask spread
1
Devisenmarkt
1
Estimation
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Foreign exchange market
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Fractional Brownian motion
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Handelsvolumen der Börse
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Shadow prices
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Schachermayer, Walter
Kabanov, Jurij M.
9
Muhle-Karbe, Johannes
7
Rásonyi, Miklós
6
Guasoni, Paolo
5
Lépinette, Emmanuel
5
Bouchard, Bruno
4
Campi, Luciano
3
Dolinsky, Yan
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Herdegen, Martin
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Soner, Halil Mete
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Stricker, Christophe
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Kühn, Christoph
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Molitor, Alexander
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Molčanov, Il'ja S.
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Murgoci, Agatha
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Paulsen, Jostein
2
Pliska, Stanley R.
2
Sass, Jörn
2
Tse, Alex S. L.
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1
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Finance and stochastics
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Annals of finance
1
Boston U. School of Management Research Paper
1
Mathematics and financial economics
1
Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
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Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Czichowsky, Christoph
;
Peyre, Rémi
;
Schachermayer, Walter
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10011945647
Saved in:
2
Transaction costs, trading volume, and the liquidity premium
Gerhold, Stefan
;
Guasoni, Paolo
;
Muhle-Karbe, Johannes
; …
- In:
Finance and stochastics
18
(
2014
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10010235459
Saved in:
3
The dual optimizer for the growth-optimal portfolio under transaction costs
Gerhold, Stefan
;
Muhle-Karbe, Johannes
;
Schachermayer, …
- In:
Finance and stochastics
17
(
2013
)
2
,
pp. 325-354
Persistent link: https://www.econbiz.de/10009730811
Saved in:
4
A super-replication theorem in Kabanov's model of transaction costs
Campi, Luciano
;
Schachermayer, Walter
- In:
Finance and stochastics
10
(
2006
)
4
,
pp. 579-596
Persistent link: https://www.econbiz.de/10003405654
Saved in:
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