No arbitrage and closure results for trading cones with transaction costs.
Saul JackaAbdelkarem BerkaouiJon WarrenPublished in: Finance Stochastics (2008)
Keyphrases
- transaction costs
- stock exchange
- stock price
- portfolio management
- financial markets
- stock market
- portfolio selection
- non stationary
- historical data
- financial data
- search costs
- financial time series
- portfolio optimization
- news articles
- exchange rate
- electronic commerce
- trading systems
- data mining
- multistage
- evolutionary algorithm
- genetic algorithm