Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
type: Item
instance of: scholarly article
title: Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
zbMATH Open document ID: 1376.91155
DOI: 10.1007/978-3-319-47766-4_21
author: Jörn Sass
author: Manfred Schäl
published in: International Series in Operations Research & Management Science
publication date: 2017-11-30T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 6813828
zbMATH Keywords: numeraire portfolio
zbMATH Keywords: utility function
zbMATH Keywords: consistent price system
zbMATH Keywords: proportional transaction costs
zbMATH Keywords: dynamic programming
MaRDI profile type: MaRDI publication profile
full work available at URL: 978-3-319-47766-4 21
OpenAlex ID: W2592182165
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description: scientific article; zbMATH DE number 6813828