Duality theory for portfolio optimisation under transaction costs (Q303976)

From MaRDI portal
Revision as of 10:52, 12 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Duality theory for portfolio optimisation under transaction costs
scientific article

    Statements

    Duality theory for portfolio optimisation under transaction costs (English)
    0 references
    23 August 2016
    0 references
    utility maximisation
    0 references
    proportional transaction costs
    0 references
    convex duality
    0 references
    shadow prices
    0 references
    supermartingale deflators
    0 references
    optional strong supermartingales
    0 references
    predictable strong supermartingales
    0 references
    logarithmic utility
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references