A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets (Q4930138)
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scientific article; zbMATH DE number 5792652
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| English | A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets |
scientific article; zbMATH DE number 5792652 |
Statements
A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets (English)
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28 September 2010
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transaction costs
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multiple risky assets
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average return
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Harris recurrence
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constant boundary strategies
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0.8465450406074524
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0.8097900152206421
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0.7980484366416931
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0.7953025698661804
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0.7948081493377686
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