Duality Methods in Portfolio Optimization under transaction costs
Event details
| Date | 12.01.2016 |
| Hour | 12:00 › 13:00 |
| Speaker | Walter SCHACHERMAYER (University of Vienna) |
| Location | |
| Category | Conferences - Seminars |
We review several recent results mainly obtained with Christoph Czichowsky for portfolio optimization under proportional transaction costs. Under appropriate conditions we show the existence of a shadow price process. Special emphasis will be put on financial models based on fractional Brownian motion.
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