Utility maximisation in a factor model with constant and proportional transaction costs
Christoph Belak, Sören Christensen
| Year of publication: |
2019
|
|---|---|
| Authors: | Belak, Christoph ; Christensen, Sören |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 23.2019, 1, p. 29-96
|
| Subject: | Portfolio optimisation | Transaction costs | Discontinuous viscosity solutions | Comparison principle | Stochastic Perron method | Transaktionskosten | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-018-00380-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012023241