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Publication:3633519

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zbMath1184.91199MaRDI QIDQ3633519

Petr Dostal

Publication date: 23 June 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

transaction costs HARA utility function futures trading

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients

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