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FTAP in finite discrete time with transaction costs by utility maximization.

Jörn SassMartin Smaga
Published in: Finance Stochastics (2014)
Keyphrases
  • transaction costs
  • utility maximization
  • utility function
  • markov chain
  • sample path
  • stochastic gradient
  • markov processes
  • finite state
  • data mining
  • portfolio selection
  • stock exchange