Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs (Q4595367)
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scientific article; zbMATH DE number 6813828
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| English | Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs |
scientific article; zbMATH DE number 6813828 |
Statements
Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs (English)
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30 November 2017
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numeraire portfolio
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utility function
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consistent price system
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proportional transaction costs
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dynamic programming
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0.93248284
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0.93234897
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0.93175054
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0.9236963
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0.9190775
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0.9184148
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0.91754305
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0.91277987
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0.9056268
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