Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10011454368
We study optimal portfolio decisions for a retail investor that faces proportional costs which are floored and capped at some minimal and maximal cost levels, respectively, in a classical Black-Scholes market. We provide a construction of optimal trading strategies and characterize the value...
Persistent link: https://www.econbiz.de/10012863618
Persistent link: https://www.econbiz.de/10013164562