Optimal portfolio policies under fixed and proportional transaction costs

DOI10.1239/AAP/1151337074MaRDI QIDQ5480002zbMATH OpenOpenAlexFDO

Authors Victor M. Panaretos

Publication date 25 July 2006

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1151337074

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Geometric probability and stochastic geometry (60D05) Biomedical imaging and signal processing (92C55) Radon transform (44A12) Diffusion processes and stochastic analysis on manifolds (58J65)

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Cited in

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• Optimal portfolio policies under fixed and proportional transaction costs
• Representation of Radon shape diffusions via hyperspherical Brownian motion
• On the induced distribution of the shape of the projection of a randomly rotated configuration
• 3. From Radon to Leray
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• Some challenges for statistics
• On random tomography with unobservable projection angles
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