Transaction Costs, Shadow Prices, and Duality in Discrete Time.

Christoph Czichowsky Johannes Muhle-Karbe Walter Schachermayer

Published in: SIAM J. Financial Math. (2014)

Keyphrases

transaction costs
search costs
linear programming
portfolio management
markov chain
shadow detection
light source
stock exchange
long run
electricity markets
transaction cost economics
dynamic pricing
portfolio selection
np hard
stock market
multistage
decision support system