On using shadow prices in portfolio optimization with transaction costs

Annals of Applied Probability

Volumn 20, Issue 4, 2010, Pages 1341-1358

  Kallsen, J ^a,b   Muhle Karbe, J ^a,b  

^a UNIVERSITY OF KIEL   (Germany)

^b UNIVERSITY OF VIENNA   (Austria)

Author keywords

Portfolio optimization; Shadow price process; Transaction costs

Indexed keywords

EID: 77955163210     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/09-AAP648     Document Type: Article

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