Asymptotic analysis of long-term investment with two illiquid and correlated assets
Xinfu Chen, Min Dai, Wei Jiang, Cong Qin
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Xinfu ; Dai, Min ; Jiang, Wei ; Qin, Cong |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 4, p. 1133-1169
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| Subject: | asymptotic expansion | correlation | multiple assets | transaction costs | Transaktionskosten | Transaction costs | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Investition | Investment | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12360 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013463397