Risky fraction processes and problems with transaction costs

zbMATH Open1191.91059MaRDI QIDQ5486569FDOQ5486569

Authors: Hideo Nagai 

Publication date: 11 September 2006

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0013.html

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Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cited In (5)

• Optimal portfolio selection under vanishing fixed transaction costs
• Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
• Risk minimization under transaction costs
• Futures trading with transaction costs
• Expected log-utility maximization under incomplete information and with Cox-process observations

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