Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs

DOI10.1007/S10479-005-6242-8zbMath1112.91323OpenAlexW2042164914MaRDI QIDQ816360

N. E. Zubov

Publication date: 10 March 2006

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-005-6242-8

zbMATH Keywords

transaction costsportfolio selectionoptimal consumptionno-arbitragebid-ask spreads

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (1)

A note on a minimax rule for portfolio selection and equilibrium price system

Cites Work

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