Almost surely optimal portfolios under proportional transaction costs

DOI10.1007/978-3-319-45875-5_14MaRDI QIDQ4976506zbMATH OpenOpenAlexFDO

Authors Mark-Roman Feodoria, Jan Kallsen

Publication date 31 July 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-45875-5_14

zbMATH Keywords

portfolio optimizationproportional transactions costsshadow prices

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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Cites work

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• Transaction costs, trading volume, and the liquidity premium

Cited in

(6)

• On the density of properly maximal claims in financial markets with transaction costs
• Log-optimal portfolio-selection strategies with proportional transaction costs
• Optimal investment in the foreign exchange market with proportional transaction costs
• Optimal portfolio policies under fixed and proportional transaction costs
• Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
• scientific article; zbMATH DE number 1855611 (Why is no real title available?)

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