Numeraire portfolios and utility-based price systems under proportional transaction costs (Q2343095)
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scientific article; zbMATH DE number 6432679
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| default for all languages | No label defined |
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| English | Numeraire portfolios and utility-based price systems under proportional transaction costs |
scientific article; zbMATH DE number 6432679 |
Statements
Numeraire portfolios and utility-based price systems under proportional transaction costs (English)
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4 May 2015
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numeraire portfolio
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power utility
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consistent price system
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proportional transaction costs
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dynamic programming
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0.8482092022895813
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0.8234930634498596
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0.8004587888717651
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0.7962340712547302
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0.7944895029067993
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