Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach

Applied Numerical Mathematics

Volumn 29, Issue 3, 1999, Pages 395-422

  Andersen, Erling D ^a   Damgaard, Anders ^a  

^a UNIVERSITY OF SOUTHERN DENMARK   (Denmark)

Author keywords

Diversification; Interior point optimization; Optimal portfolio choice; Reservation prices of options; Stochastic programming; Transaction costs

Indexed keywords

EID: 0011058372     PISSN: 01689274     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0168-9274(98)00104-4     Document Type: Article

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