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Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs.

Emmanuel Lépinette
Published in: SIAM J. Financial Math. (2016)
Keyphrases
  • transaction costs
  • portfolio management
  • stock exchange
  • stock price
  • dynamic programming
  • machine learning
  • financial markets
  • portfolio selection
  • transaction cost economics