Numeraire portfolios and utility-based price systems under proportional transaction costs

DOI10.1007/s10203-012-0132-8zbMath1398.91545OpenAlexW1987216020MaRDI QIDQ2343095

Jörn Sass, Manfred Schäl

Publication date: 4 May 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-012-0132-8

zbMATH Keywords

dynamic programmingproportional transaction costspower utilityconsistent price systemnumeraire portfolio

Mathematics Subject Classification ID

Stochastic programming (90C15) Utility theory (91B16) Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (2)

Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ How non-arbitrage, viability and numéraire portfolio are related

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