Hedging and portfolio optimization under transaction costs: A martingale approach

Mathematical Finance

Volumn 6, Issue 2, 1996, Pages 133-165

  Cvitanić, Jakša ^a   Karatzas, Ioannis ^a  

^a Columbia University ^*  (United States)

Author keywords

Convex duality; Hedging; Martingales; Portfolio optimization; Transaction costs

Indexed keywords

EID: 0030306938     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.1996.tb00075.x     Document Type: Article

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