An Option to Reduce Transaction Costs (Q5388674)

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scientific article; zbMATH DE number 6025772
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English
An Option to Reduce Transaction Costs
scientific article; zbMATH DE number 6025772

    Statements

    title
    An Option to Reduce Transaction Costs (English)
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    author
    Jonathan B. Goodman
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    Daniel N. Ostrov
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    publication date
    19 April 2012
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    zbMATH Keywords
    transaction costs
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    Merton strategy
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    asymptotics
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    optimal rebalancing
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    Identifiers

    DOI
    10.1137/100798053
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    Mathematics Subject Classification ID
    91G10
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    91G80
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    49K10
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    41A60
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    zbMATH DE Number
    6025772
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