Similar Search Results

A super-martingale property of the optimal portfolio process

Schachermayer, Walter - In: Finance and stochastics 7 (2003) 4, pp. 433-456

Persistent link: https://www.econbiz.de/10001800676

Optimal investment in incomplete financial markets

Schachermayer, Walter - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 427-462). 2002

Persistent link: https://www.econbiz.de/10001679464

The super-replication theorem under proportional transaction costs revisited

Schachermayer, Walter - In: Mathematics and financial economics 8 (2014) 4, pp. 383-398

Persistent link: https://www.econbiz.de/10010490973

Portfolio optimization in incomplete financial markets

Schachermayer, Walter - 2004

Persistent link: https://www.econbiz.de/10003469901

Transaction costs, trading volume, and the liquidity premium

Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; … - In: Finance and stochastics 18 (2014) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10010235459

The dual optimizer for the growth-optimal portfolio under transaction costs

Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, … - In: Finance and stochastics 17 (2013) 2, pp. 325-354

Persistent link: https://www.econbiz.de/10009730811

Asymptotic arbitrage and large deviations

Föllmer, Hans; Schachermayer, Walter - In: Mathematics and financial economics 1 (2008) 3/4, pp. 213-249

Persistent link: https://www.econbiz.de/10003722526

In which financial markets do mutual fund theorems hold true?

Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77

Persistent link: https://www.econbiz.de/10003939474

Convergence of optimal expected utility for a sequence of discrete-time market

Kreps, David M.; Schachermayer, Walter - 2019

We examine Kreps' (2019) conjecture that optimal expected utility in the classic Black–Scholes–Merton (BSM) economy is the limit of optimal expected utility for a sequence of discrete-time economies that “approach” the BSM economy in a natural sense: The nth discrete-time economy is...

Persistent link: https://www.econbiz.de/10012244405

Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs

Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter - In: Finance and stochastics 22 (2018) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10011945647