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Faculty of Mathematics and Natural Sciences
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Mathematisch-Naturwissenschaftliche Fakultät
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Portfolio Selection
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Portfoliooptimierung, portfolio optimization, Transaktionskosten, transaction costs, Binomialmodell, CRR model, Black-Scholes-Modell, Black-Scholes model, fixe und proportionale Kosten, fixed and proportional costs
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Jörn Saß
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Portfoliooptimierung unter Transaktionskosten
Jörn Saß
-
2001
is to derive practicable optimal strategies for logarithmic utility. First, we analyze the
CRR
model
in one period. We … model can be analyzed in a fairly complete way. In the
CRR
model
with an infinite time-horizon we are able to embed our …
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