Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: The scope of the Morton-Pliska approach

Mathematical Methods of Operations Research

Volumn 60, Issue 2, 2004, Pages 165-174

  Korn, Ralf ^a  

^a Rheinland Pfälzische Technische Universität Kaiserslautern Landau   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC STABILITY; COSTS; MARKETING; MATHEMATICAL MODELS; OPTIMIZATION; RANDOM PROCESSES;

ASYMPTOTIC EXPANSION; OPTIMAL TRADING; STOCHASTIC VOLATILITY MODELS; TRANSACTION COSTS;

PROBLEM SOLVING;

EID: 10044297448     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860400359     Document Type: Article

References (13)

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