Record link: 
http://hdl.handle.net/20.500.12708/145872
-
Title: 
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
en
Citation: 
Czichowsky, C., Peyre, R., Schachermayer, W., & Yang, J. (2018). Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance and Stochastics, 22(1), 161–180. https://doi.org/10.1007/s00780-017-0351-5
-
Publisher DOI: 
10.1007/s00780-017-0351-5
-
Publication Type: 
Article - Original Research Article
en
Language: 
English
-
Authors: 
Czichowsky, Christoph 
Peyre, Rémi 
Schachermayer, Walter 
Yang, Junjian 
-
Organisational Unit: 
E105-05 - Forschungsbereich Stochastische Finanz- und Versicherungsmathematik 
-
Journal: 
Finance and Stochastics 
-
ISSN: 
0949-2984
-
Date (published): 
2018
-
Number of Pages: 
20
-
Peer reviewed: 
Yes
-
Keywords: 
Statistics and Probability; Statistics, Probability and Uncertainty; Finance
-
Research Areas: 
Fundamental Mathematics Research: 20%
Mathematical Methods in Economics: 80%
-
Science Branch: 
Mathematik
-
Appears in Collections:
Article

Show full item record

Page view(s)

73
checked on Dec 1, 2023

Google ScholarTM

Check