Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.

DOI10.1007/S001860400359zbMath1091.91035OpenAlexW2021837367MaRDI QIDQ703140

Ralf Korn

Publication date: 11 January 2005

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860400359

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (4)

Discrete-time delta hedging and the Black-Scholes model with transaction costs ⋮ A unified approach to portfolio optimization with linear transaction costs ⋮ Optimal portfolio policies under fixed and proportional transaction costs ⋮ Continuous-time mean-variance portfolios: a comparison

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