Utility Maximization Trading Two Futures with Transaction Costs.
Maxim BichuchSteven E. ShrevePublished in: SIAM J. Financial Math. (2013)
Keyphrases
- transaction costs
- utility maximization
- financial markets
- stock exchange
- portfolio selection
- utility function
- stock market
- stock price
- futures market
- stochastic gradient
- sample path
- portfolio management
- search costs
- financial data
- portfolio optimization
- electronic commerce
- long term
- financial time series
- asymptotic analysis
- machine learning
- exchange rate
- decision making