Asymptotic theory of transaction costs

DOI10.4171/173zbMath1422.91008OpenAlexW2590645037MaRDI QIDQ516361

Walter Schachermayer

Publication date: 14 March 2017

Published in: Zurich Lectures in Advanced Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4171/173

zbMATH Keywords

fractional Brownian motionportfolio optimizationshadow pricesemimartingaleproportional transaction costsduality theory for financial market

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (8)

Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ Expected vs. real transaction costs in European option pricing ⋮ Dynamic programming principle and computable prices in financial market models with transaction costs ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Asset price bubbles in markets with transaction costs ⋮ Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

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