An option to reduce transaction costs

SIAM Journal on Financial Mathematics

Volumn 2, Issue 1, 2011, Pages 512-537

  Goodman, Jonathan ^a   Ostrov, Daniel N ^b  

^a NEW YORK UNIVERSITY   (United States)

^b SANTA CLARA UNIVERSITY   (United States)

Author keywords

Asymptotics; Merton strategy; Optimal rebalancing; Transaction costs

Indexed keywords

EID: 84871060799     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/100798053     Document Type: Article

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