Optimal investment with transaction costs and without semimartingales

Annals of Applied Probability

Volumn 12, Issue 4, 2002, Pages 1227-1246

  Guasoni, Paolo ^a  

^a UNIVERSITY OF PISA   (Italy)

Author keywords

Coherent risk measures; Incomplete markets; Transaction costs; Utility maximization

Indexed keywords

EID: 0036437232     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1037125861     Document Type: Article

References (20)

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