Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs.
Christoph CzichowskyRémi PeyreWalter SchachermayerJunjian YangPublished in: Finance Stochastics (2018)
Keyphrases
- transaction costs
- fractional brownian motion
- financial markets
- search costs
- market data
- portfolio selection
- long range
- non stationary
- portfolio management
- fractal dimension
- stock exchange
- long range dependence
- stock price
- stock market
- genetic algorithm
- random fields
- portfolio optimization
- stochastic differential equations
- mathematical model
- long run
- long term
- graphical models
- multi objective
- machine learning