The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044): Difference between revisions

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+Walter Schachermayer
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+W2115729786
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+.5105
@@ Property / arXiv ID: 1005.5105 / rank @@
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@@ Property / cites work @@
+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Inequalities for upcrossings of semimartingales via skorohod embedding
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+Q3150773
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
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+Portfolio Selection with Transaction Costs
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