Portfolio Choice with Transaction Costs: A User's Guide

被引：20
|
作者：
Guasoni, Paolo [1 ,2 ]
Muhle-Karbe, Johannes [3 ,4 ]
机构：
[1] Boston Univ, Dept Math & Stat, Boston, MA 02215 USA
[2] Dublin City Univ, Sch Math Sci, Dublin 9, Ireland
[3] ETH, Dept Math, CH-8092 Zurich, Switzerland
[4] Swiss Finance Inst, Zurich, Switzerland
来源：
PARIS-PRINCETON LECTURES ON MATHEMATICAL FINANCE 2013 | 2013年 / 2081卷
基金：
美国国家科学基金会; 爱尔兰科学基金会; 欧洲研究理事会;
关键词：
OPTIMAL INVESTMENT; ASYMPTOTIC ANALYSIS; SELECTION; CONSUMPTION; TIME; OPTIMIZATION; PRICES; MODEL;
D O I：
10.1007/978-3-319-00413-6_3
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research.
引用
收藏
页码：169 / 201
页数：33
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