Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach

We review some different approaches to treat the continuous-time portfolio problem under transaction costs and highlight the difficulties with their application to real-world tasks. In particular, we point out the problems and possibilities of using the Morton and Pliska (1995) approach and its asymptotic variant in reality. Copyright Springer-Verlag 2004

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Year of publication:	2004
Authors:	Korn, Ralf
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 60.2004, 2, p. 165-174
Publisher:	Springer

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010950179