Portfolio optimization under transaction costs in the CRR model
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DOI: 10.1007/s00186-005-0415-8
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Cited by:
- Colin Atkinson & Emmeline Storey, 2010. "Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 323-357.
- Romain Blanchard & Laurence Carassus & Miklós Rásonyi, 2018. "No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(2), pages 241-281, October.
- Romain Blanchard & Laurence Carassus & Miklos Rasonyi, 2018. "Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach," Post-Print hal-01883419, HAL.
- Christian Bayer & Bezirgen Veliyev, 2014.
"Utility Maximization In A Binomial Model With Transaction Costs: A Duality Approach Based On The Shadow Price Process,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-27.
- Christian Bayer & Bezirgen Veliyev, 2012. "Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process," Papers 1209.5175, arXiv.org.
- Jörn Sass & Manfred Schäl, 2014. "Numeraire portfolios and utility-based price systems under proportional transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 195-234, October.
- Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
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Keywords
Portfolio optimization; Transaction costs; CRR model; Utility maximization; Markov control processes;All these keywords.
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