Shadow prices for continuous processes (Q5283399)
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scientific article; zbMATH DE number 6751202
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Shadow prices for continuous processes |
scientific article; zbMATH DE number 6751202 |
Statements
SHADOW PRICES FOR CONTINUOUS PROCESSES (English)
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21 July 2017
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portfolio maximization
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proportional transaction costs
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convex duality
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shadow prices
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continuous price processes
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0.866544246673584
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0.8629313111305237
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0.8615351319313049
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0.8379219770431519
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0.825551450252533
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