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Portfolio optimization under transaction costs in the
CRR
model
Sass, Jörn
- In:
Mathematical Methods of Operations Research
61
(
2005
)
2
,
pp. 239-259
In the
CRR
model
we introduce a transaction cost structure which covers piecewise proportional, fixed and constant …
Persistent link: https://www.econbiz.de/10010999748
Saved in:
2
Portfolio optimization under transaction costs in the
CRR
model
Sass, Jörn
- In:
Computational Statistics
61
(
2005
)
2
,
pp. 239-259
In the
CRR
model
we introduce a transaction cost structure which covers piecewise proportional, fixed and constant …
Persistent link: https://www.econbiz.de/10010759341
Saved in:
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