Haier, Andreas; Molchanov, Ilya - In: Statistics & Risk Modeling 36 (2019) 1-4, pp. 25-35
Abstract The family of admissible positions in a transaction costs model is a
random closed set, which is convex in case of proportional transaction costs.
However, the convexity fails, e.g., in case of fixed transaction costs or when only a finite number of transfers are possible.
The paper...