Shortfall risk minimization under fixed transaction costs
Niv Nayman
| Year of publication: |
August 2018
|
|---|---|
| Authors: | Nayman, Niv |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 5, p. 1-29
|
| Subject: | Shortfall risk minimization | fixed transaction costs | binomial models | Markov decision process | dynamic programming | Transaktionskosten | Transaction costs | Theorie | Theory | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Risikomanagement | Risk management | Entscheidung | Decision |