Rémi Peyre

Publication Activity (10 Years)

Years Active: 2018-2018
Publications (10 Years): 1

Top Topics

Fractional Brownian Motion

Long Range Dependence

Portfolio Selection

Top Venues

Finance Stochastics

Publications

Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance Stochastics 22 (1) (2018)