Login / Signup

Multivariate utility maximization with proportional transaction costs.

Luciano CampiMark P. Owen
Published in: Finance Stochastics (2011)
Keyphrases
  • transaction costs
  • utility maximization
  • utility function
  • stochastic gradient
  • stock exchange
  • search costs
  • portfolio selection
  • sample path
  • stock market
  • single period