The dual optimizer for the growth-optimal portfolio under transaction costs

Finance and Stochastics

Volumn 17, Issue 2, 2013, Pages 325-354

  Gerhold, S ^a   Muhle Karbe, J ^b   Schachermayer, W ^c  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

^b ETH ZURICH   (Switzerland)

^c UNIVERSITY OF VIENNA   (Austria)

Author keywords

Growth optimal portfolio; Shadow price; Transaction costs

Indexed keywords

EID: 84874947329     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-011-0165-9     Document Type: Article

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