Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach

DOI10.1016/S0168-9274(98)00104-4zbMath0997.91032OpenAlexW1988454980MaRDI QIDQ1294549

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Publication date: 19 November 2002

Published in: (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0168-9274(98)00104-4

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