Optimal investment with transaction costs and without semimartingales

DOI10.1214/aoap/1037125861zbMath1016.60065MaRDI QIDQ1872364

Paolo Guasoni

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1037125861

zbMATH Keywords

transaction costs; incomplete information; optimal strategies

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H05: Stochastic integrals

Related Items

NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND, Risk measure pricing and hedging in the presence of transaction costs, Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem, Consistent price systems and face-lifting pricing under transaction costs

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