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Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios.

Erhan BayraktarChristoph CzichowskyLeonid DolinskyiYan Dolinsky
Published in: SIAM J. Financial Math. (2021)
Keyphrases
  • transaction costs
  • utility maximization
  • utility function
  • stochastic gradient
  • portfolio selection
  • optimal solution
  • least squares
  • probability distribution
  • stock exchange
  • sample path