"Shadow prices, fractional Brownian motion, and portfolio optimisation ..."

Christoph Czichowsky et al. (2018)

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DOI: 10.1007/S00780-017-0351-5

access: closed

type: Journal Article

metadata version: 2020-07-22

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  - https://dblp.org/rec/journals/fs/CzichowskyPSY18
Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang:
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance Stochastics 22(1): 161-180 (2018)

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