Duality theory for portfolio optimisation under transaction costs (Q303976)
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scientific article; zbMATH DE number 6618845
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| English | Duality theory for portfolio optimisation under transaction costs |
scientific article; zbMATH DE number 6618845 |
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Duality theory for portfolio optimisation under transaction costs (English)
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23 August 2016
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utility maximisation
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proportional transaction costs
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convex duality
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shadow prices
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supermartingale deflators
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optional strong supermartingales
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predictable strong supermartingales
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logarithmic utility
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0.9058507084846495
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0.8891246318817139
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0.8732170462608337
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0.8636496067047119
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0.8615351319313049
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