Asymptotic analysis for target asset portfolio allocation with small transaction costs (Q903330)
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scientific article; zbMATH DE number 6526556
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| English | Asymptotic analysis for target asset portfolio allocation with small transaction costs |
scientific article; zbMATH DE number 6526556 |
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Asymptotic analysis for target asset portfolio allocation with small transaction costs (English)
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5 January 2016
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target asset portfolio allocation
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tracking error
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proportional transaction costs
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Magnus expansion
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asymptotic analysis
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0.8124570250511169
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0.8085463643074036
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0.8040466904640198
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0.8028163313865662
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0.788016140460968
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